CK, for its great approach to dynasties. Never really got into any HOI game, because i am no warmonger really. EU III is a nice game but only mods make it a great exprience. Vicky I+II are nice games but somehow they already have the winners and looser too muc in place, and variety of games is close to HOI..not much on the grand scale.
I also want to mention For the Glory here which sadly didnt get the respect and success it deserved. Its a great game if you want a rather historical experience without being too limited.
Rome isnt bad too, especially with Epigoni mod, or abandoned ones like Imperium...the problem i have with it is that the map setup of the ancient world just isnt balanced as good as lets say in CK or EU III. So you are either doomed to die or go on WC. Dont enjoy that too much.