As a huge fan of all EU-engine games, I'd highly suggest that everyone should try the latest release of EU3: EU3 Chronicles. It has the base game and all exps. During sales, it's like <10 bucks.
Edit: I want to emphasize that this is EU3 -Chronicles- not "Complete". Complete actually only has the first two expansions. You want all four, which come with Chronicles: Napoleon's Ambition, In Nomine, Heir to the Throne, and Divine Wind.
They've finally figured out a lot of interface and gameplay design stuff by the fourth exp. for EU3, and the whole game just -works-. EU3: Rome is probably one of their buggier messier games. Vicky 2 has potential, especially with recently released AHD, but it's still nowhere as polished as EU3. HOI3 is supposed to be good, but it's more of a wargame. I never got into that series at all. Same engine, but different sub-genre (grand strategy vs. wargame).
I haven't played CK2, but it looks like it might just take away EU3's crown. The maps are just great looking. Everyone who has played the beta has been singing the praises. I'm hyped myself, despite finding CK1 highly flawed. A lot of CK1's problems came from troubled development, but that's a long story.
In any case, please, do not consider EU: Rome a good example of the series. It's okay, especially with mods, but it's buggier, crashier, slower. uglier, and less fun than pretty much all the other games. EU3 is the cream of the crop, while CK2 is the next big contender.