Europa Universalis is the starting point for most people. It's a general overview focusing on the state. It's also the longest-spanning game, time-wise. There's a general balance between economics, research, war, and diplomacy. It's generally considered the easiest grand strategy game Paradox produces.

Crusader Kings is dynasty-based. It's much more centered on people; as a result, economics, research, and war take a distant second to diplomatic ties and intrigue. CK is also a fairly easy game to get the hang of.

Hearts of Iron is largely military. It's set in 1936-1947, though the expansion lets you play until 1964. Given that the time proceeds by minutes and hours rather than by days, this is a pretty substantial amount of time. Hearts of Iron is considered rather terrifying in regards to difficulty; the interface is complex, and because you're fighting a World War there's not a lot of time to step back, collect yourself, and breathe.

Victoria (or Vicky, as some people affectionately call it), focuses largely on economics, politics, and colonialization. You can be one of the eight Great Powers (Austria, UK, USA, France, Spain, Russia, Prussia, and the Ottomans), one of the secondary powers (initially Belgium, Netherlands, Bavaria, Mexico, Two Siciles, and Portugal), and the civilized/uncivilized nations (everyone else). Obviously nations can rise and fall in these rankings. You focus on dealing with your nation's government, industrializing your nation, and managing your nation's standing in the world. Conflict exists, but it's generally between the Great Powers and it's less important than general stability and prestige. You can check out (http://www.paradoxian.org/vicky2wiki/New_player_guide) if you're interested in the general way of things. It's complicated, but not nearly as much as Hearts of Iron. It also has an expansion that lets you play out the American Civil War in greater detail.