EU - has to be first. It was groundbreaking. If the subsequent ones - EU4 in particular - had seen the same development leap, we'd be in heaven right now.
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EU2
Vic1
CK2
EU4 (on release)
Vic2
EU3
EU4 (recently, bloated)
Cheers, from a fellow old-timer.
My rankings are from Paradox "prehistory", and skewed by my predominant experience as a beta tester, rather than as a casual gamer...
1) EU II - the perfection of EU I. The two combined are the basis of the franchise. All preferences mentioned by everyone posting in this thread are contingent on the quality of EU I / EU II.

2) Vicky I - not because it was a great game, but because it showed over-reach of game design in terms of uber-realism, which will be a useful lesson for later releases...
3) CK I - which was superb, except for the the crusading and alliance system which fecked up everything, But, introduced the notion of rpg play, directly
4) HoI1 - ... Well, what to say... I very strongly felt that the EU game engine was totally inappropriate for a WWII game. How wrong I was as the HoI franchise persists, and is very successful.

Despite my disagreement with the creation of HoI, the treatment of political characters in "the government", shared with Vicky I, is very important for the development of the successor games...
5) EU III - the destroyer of historical determinism. All prior titles shared a deterministic nature, that allowed a player to consider what really happened in history, and to play their game based on future knowledge (of events, rulers, etc.).
I should say that my rankings of 2-5 are really a tie...
In terms of my personal enjoyment, I investigated EU I economics (which got me into the EU II beta

); and of becoming the EU II FAQ-meister and bug forum moderator as a result of beta-testing; having flame wars with Greven, the designer of HoI I about the tech-tree (and our happy make-up

); participating in the endless discussions about the world market in the beta Vicky I, and best, my long-term beta test in CK I, "The Marrying Game", where I tested the long-term strategy of marrying off children to other dynasties - revealing that some huge % of European nobles were from my blood-line...
Cheers,
State