Vanilla EU3 is a pretty bland game if you are already into Paradox games (of course it's great for newcomers), the mods are what make it so special. Especially Magna Mundi, which was so popular that its developers will be releasing a stand-alone game next year on the same engine as EU3 and it is going to be THE grand strategy game.
As compared to EU2, 3 is much less streamlined and event-driven, which means less historical outcomes but also no silly stuff like conquering whole Europe as Hungary only to find out that in year 1526 IRL, your dynasty died out and so you lose the game as well. The borders are also rounder (an aspect my friend loves so much he can't move to EU3). There's also a mod AGCEEP that takes the design philosophy a step further and even a spin-off, unofficial expansion game For The Glory.
Other main series from Paradox are Hearts of Iron (focused on warmongering in 20th century, current version is 3 but there are spin-offs of HOI2 as Arsenal of Democracy, Darkest Hour and Iron Cross, similar idea as For The Glory for EU2), Victoria (economic and societal focus from 1836 to WWI, current version is 2, much more user friendly than the first one) and Crusader Kings (focus on dynasties, set in medieval Europe and surrounding areas, 2 is currently under development with such features as 3

portraits and genetics). There are also other minor titles like Majesty or Mount and Blade and my current favorite, Hearts of Iron: The Card Game, currently in open beta.