For those that don't know, Paradox games are historical sim games based in various time periods, stretching from 1066 to 1964. They're RTS games that mix some combat and a heavy amount of nation running, the amount of which depends on which game you play and what play style you use.
The only one I've had the chance to play extensively is Hearts of Iron 2, which I'm just getting the hang of in terms of non combat stuff. It's a WW2 sim in effect, and is far more restrictive historically than the rest due to the alliance system and limited time period. It's a lot of fun, as while the game's mostly set in it's alliances, there's one big wild card- the United States. They can in theory join any alliance if you start from 1936, though the Axis with the Americans sounds pretty horrific for the rest of the world. While I haven't played the other games, they're interesting to read and post about. Anyone else played any of them? Crusader Kings, Victoria, etc?
http://forums.somethingawful.com/showthread.php?threadid=2649309 Is a good thread, about halfway done, that covers all four major Paradox games.