I guess the answer could depend slightly on if you just got the Platinum HOI or if you got hold of the ol' HOI.
If you have the latter, I would go for the official/regular patches at first, play a bit and then take a good look at CORE. Then I would look around on several different mods. There are a number of them, often with different scope. Several can be lot harder to spot than CORE.
Lastly, when you feel confident, look around for all the tools, utilities and such that lay around here and there.
I would guess that some mods and most tools would work with HOI Platinum, but I can’t say for sure as I don’t have Platinum myself and haven’t tested.
And yes, there are at least one hot issues on the latest HOI patch (a changed design matter, that some consider went the wrong way). I have played it, but some seems to preffer a previous patch... Sooner or later you will decide yourself.
Oh. And soon there is HOI2 to play.
<edit> if you haven't seen this yet, take a look.
http://forum.paradoxplaza.com/forum/forumdisplay.php?f=131
But as I said, I would go for the regular
patches first. You will find them in the download section on the site main page.