Hearts of Iron 3 was a disappointment - very buggy, slow, and with clunky mechanics. I found the reworking of Hearts of Iron II, "Arsenal of Democracy" (
http://www.paradoxplaza.com/games/arsenal-of-democracy) to be a far better game and what HOI III should have been - other than the graphics engine which is definitely dated.
Europa Universalis is a great game, I must agree. I usually try to unify Italy starting as Milan; save the Byzantine Empire and defeat the Turks; or use one of the Berber states to take over the entirety of Africa. There are plenty of good mods for it as well, so it never gets old.