I'm generally not interested in achievements myself in most games. E.g. in RPGs I don't need achievements, I'm playing it for the story, immersion or character development. And most of the time, I'm going to do one or two walkthroughs and that's it. In EU IV however I like them a lot, because, as many before have already said, ultimately there's only one goal: grow. Turning into a huge empire is satisfying, but only for so long. After you've done it with half a dozen OPMs in seemingly impossible positions and of course with several majors it's turns into a slug (at least for me).
Which is why achievements like "conquer all of Africa as Kongo" aren't that amazing in my eyes, however "Venetian Sea" is pretty damn difficult to do, even though it doesn't look too hard. In general I'm at a point where it's becoming increasingly important to set myself house rules (or specific goals), mostly keeping my expansion rate at bay, because otherwise I stop by 1550ish since my Empire is already uncontested in size and power and able to beat up the whole world if necessary.