I haven't really played Vic 2 but of the other three, it depends largely on what you want.
Crusader Kings 2 is a very simulation-oriented, in a way to produce strange and varying stories. It has lighter strategy side than the other two, and is somewhat more chaotic. For example, you may have a perfect plan on how to claim the throne of England, and then your guy contracts the plague and dies. Or goes insane. Or you succeed but proceed to only have daughters without being able to switch the succession laws to agnatic-cognatic. You can't always fight fate! But Crusader Kings 2 is also a game where failure can be interesting in its own right, because the (relatively) complex character interactions can spin into memorable stories of considerable variety. Despite the game being very dynamic, it has some major scripted events like the great hordes of Seljuks, Timurids and Mongols arriving to Europe.
CK2 is unusual among the other three games I've played of this list that it has proper internal politics, of the feudal nature. Most of your country won't be run by you but by your vassals who are "full actors" in the game like yourself (and you can indeed play as a vassal instead of a sovereign, should you so wish). Vassals can join factions that demand more favorable legislation or try to depose their leader, and managing them is a big part of the game's appeal to me. You can, of course, just execute the troublemakers, but the game punishes excessive tyranny hard.
Hearts of Iron IV is a war game. All the resources at your disposal are intended for warfare and there's really nothing but preparation for war and then prosecuting it to a bitter end. It's markedly less dynamic than the other two games: the player can twist the rails a bit but AIs are railroaded to specific paths (national focuses) that force it to act in a certain way, or by choosing one of a limited set. You can't choose so freely what to do: no matter how hard you try, lots of things will be impossible or possible only with certain constraints. But in exchange, you get a far more detailed war game than the other two can provide, so if you want to focus on the specifics of eg. what equipment you produce and what kinds of divisions your army has, it's much better than the other two. But if you want to play around with a "simulation box" to see what kinds of outcomes you can get, it's not your game.
(addendum on Hearts of Iron IV: it has an excellent alternative history mod,
Kaiserreich, which I recommend trying and that is about 90% of my HoI 4 gameplay time by now!)
EU4, I'd, is somewhere between Crusader Kings 2 and Hearts of Iron 4 in feel. It's a much more "pure" strategy game than the silly chaos of CK2 is, but it is not as much about warfare as Hearts of Iron IV is. The game's much more dynamic than HoI 4 is, so you'll see more variety in outcomes, there's not as clear scripted paths for countries to take even though the general trends are usually the same (eg. Spain is almost invariably a major colonial power) and there are a few scripted sequences: for example the Protestant Reformation will practically always happen and different countries will be more likely to join it (Sweden very often, Spain almost never).
And of course, the games take place during different time periods, from Medieval (CK2) to Early Modern (EU4), Late Modern (Vicky2) and World War II (HoI 4), so when making your choice, pick one that doesn't annoy you.