If anyone doesn't have Crusader Kings, get it. Wonderful game.
Seconded. Plus, you can learn the fundamentals and the ins and outs before Paradox releases CK 2.
One really interesting feature (that I never used because I came to CK too late to own the older versions of the other games) is the ability to start a campaign in CK, export it to Europa Universalis II, export that to Victoria, and then export that to Hearts of Iron. Imagine playing from 1066 to 1950. Crazy.
But, yeah, despite the ability to do all that, CK is a very different game than the other Paradox titles. Much less about countries and international diplomacy and much more about dynasties and internal politics.