For me:
- Hearts of Iron 4: Yeah, it's a pure map painter game, but I think it does it very well. I find the strategic and tactical mechanics engaging without being overwhelming and the many countries give different challenges that require you to master different aspects of the game (defense in depth as the USSR, lend lease and naval warfare as the US, air war and puppet management as the UK, etc.). Plus, it helps a lot that one of the colors you can paint the map is red. :back-to-me-shining:
- Victoria 2: I really like the in-depth economic and political systems and the modeling of the historical and material basis of the rise of things like socialism and fascism. There is a fair amount of wonkiness in some of the actual mechanics of those things ("socialism is when labor unions and welfare, communism is when labor unions and welfare but also no democracy) and if Vic 3 addresses those issues it will be a very welcome addition to the series.
- Stellaris: It's fun for a while, but once you establish and entrench yourself, you're left doing a whole lot of waiting around. The only thing you really have to worry about until a crisis pops up is managing your economy, and that's quite easy. I think the game would benefit from more smaller crises (especially ones whose solution isn't "throw a big enough deathball at it") and (a la Victoria 2) more demanding and high-stakes internal politics.
- Crusader Kings 3: I fail and die because I am absolutely terrible at securing decent marriages. I do like how it gives you a fair amount of latitude to set your own goals and the emergent stories that develop, though.
- Europa Universalis 4: Played it a few hours, couldn't really get into it. Not sure why exactly, it just didn't resonate with me.
Haven't played any others, so I can't comment on them.
Of the ones I've played:
CK2. By far the best one, it adds a lot of human elements and roleplay potential which really spices up the game and makes it unique. Incredible replayability with a bajilion different starts, and different inheritance rules can make the game feel wildly different. Haven't tried 3 yet tho. My favorite, go-to run is to start as an Irish duke/petty king, unite and modernize the kingdom, then forge alliances and pick up territory to face off against England
Stellaris. Lots of customizability in terms of what kind of civilization you run, how you build up, etc. Very slow paced, however.
EU4. Main draw for me is having the whole map available to you, so you can play whatever you want. Unfortunately, if you start far from Europe you suffer severe tech penalties, which it's possible to get around through development but it makes it feel like you're "supposed" to play in Europe, at which point I'd rather be playing CK2. The descriptions for each nation are nicely detailed tho and the objective trees are cool.
HOI2. I find the combat to be pretty tedious and annoying. You have to constantly remind planes and ships to support, and often you have to do it one group at a time. Naval combat is the worst because by default the game only tells you when it's resolved, rather than when it starts, so you find out that your entire fleet of transports decided to fight to the death against the enemy fleet - I find naval combat in Paradox games is generally very frustrating an un-fun (another reason I like CK2). I don't like playing as the USSR bc it's too large to manage, and a lot of the world (India, for instance) isn't available because it's colonized. Germany honestly gives you the most flexibility but then ofc you're playing as Hitler. Communist China is alright but the game has no way of simulating a widespread popular movement so it's very hard.
HOI3. I don't know why I tried this after not liking 2, but it took one of the few things I liked from 2, the tech tree, and split it up into a bajilion tiny advances, which I didn't like. So I haven't really played it much. Tbh I don't really like the WWII scenario, it's just a bad time for everybody tbh.