So, I got a couple of things to say about all these games. I am a huge fan of Paradox and, personally, I think it’s easier to start with CK2. Being medieval means not having to worry about a lot of stuff, especially with the character centered gameplay. Once you get the hang of it, move on to EU4. I don’t recommend importing the save from CK2, which you can do if you own an expansion, because it makes it all seem so dull when you’re too big. The real challenge of these games is to start small, work your way up, fail a few times and get back on your feet, and I mean it. It takes a couple of tries to get the hang of it, so go guides. I second the recommendation of Quill18 and Arumba, but some hardcore guys like DDRJake and shenryyr2 for EU4 are worth cheking out on YouTube. The paradox forums are also filled with guides, and if you’re using Steam, you’ll find some good ones there as well.
From CK to EU you already notice a big difference in levies, countries, warfare and money, but the system is very similar and I think it’s a lot more fun. Moving on to Vic, this is a game that is hard if you’re not big. Hard hard. Really hard. I mean it. The economy is usually what screws people over, and since the basis is imperialism, as a small nation, you simply cannot escape conquer, be it diplomatic or militaristic, due to the fluctuation of economy and trade goods, where the whole supply and demand things really shine. The diplomacy of the game is pretty awesome too, and becoming a great power requires very strategically advanced moves, so starting out as one is easier.
So, being a beginner, the game usually suggests England, France, Sweden, Spain, big nations from start to finish in all three games. From base tax to initial resources, they are pretty fun to go with if you want to be big. In CK2, it’s also fun to explore the empires like the Abassid or the Byzantine. As you advance, you can try picking harder nations to go with, like russians, Burgundy and Portugal in EU and Brazil and Japan in Vic. The harder ones are the smaller ones, less territory means less money and less rank, less respect and more likely to be attacked by bigger nations. I think it’s fun to be squish-squashed and when things go right, become a badass. It’s quill18, I think, who has an amazing Japan gameplay of Vic where he was mad lucky and managed to do awesome stuff while teaching me the game.
Just remember to set goals, becoming an empire within your realm, conquering your neighbours or crazy ones, like conquering England with India. And have fun!