I have to admit, I never played HoI2 or HoI3. Only Darkest Hour. Weird, right?
What I like about Darkest Hour (note, this could apply to other HoI games, I'm not sure since I haven't played them):
-The map's attention to detail is incredible.
-The countries that can form are pretty cool, and gives a neat alternate history dimension.
-The amount of detail you can put into optimizing your army and navy is really cool.
-It's one of the few games that has a WWI scenario.
-Wars play out realistically, with realistic outcomes.
-The game is complex, but not so complex that I get overwhelmed and quit (at least not all the time).
What I don't like about Darkest Hour (ditto):
-Countries are incompetent when it comes to naval invasions. The Pacific War will go on forever, Britain will invade parts of Europe with 1-3 divisions that soon get annihilated, and the United States will park dozens of divisions in Iceland, Britain or Tunisia for the duration of the game.
-The interface is so screwy it makes it hard to play the game sometimes.
-The tech teams just seemed to add another level of complexity and confusion to me. Seeing them represented as historical companies is pretty cool, but trying to decide what to research and what tech teams to do the researching just becomes a chore.
-Some stupid things happen in every game, like the Soviets invading Norway from the north (or the Germans failing to defend it?)
-The AI can be pretty damn idiotic sometimes. Just last night, I saw the Finns surrounding Murmansk and outnumbering the besieged Soviets at least 5-to-1. Meanwhile, Britain invaded German-occupied Norway, bypassed the Finns and came close to occupying the entire southern half of Finland.
-The AI doesn't seem to put any priority in cities with Victory points. The Germans will march for thousands of miles across Siberia without taking Murmansk or Baku.
In short, Darkest Hour is a really fun game and I enjoy playing it. It's just that the game is an old spin-off of an even older game. I'm a little afraid of the things HOI4 will get wrong (whatever they might be), but the game looks really good in my opinion, and I get the feeling I'll be able to play the game longer before getting frustrated.