CK2 is about prestige and dynastic achievement. You are your own state, it matters what you and your family achieved. As CK2 shows, you may not become the best, but like Cadets you may be so influence, spread and great that your cadet braches would often be the monarchs of great nations.
EU4 is about a state. You paint the map there, otherwise there is not much else, it lacks depth and inner politics dimension which is compensated by variety of cultures, governments, mechanics. Painting is fun though.
Victoria 2 is about a state too, but unlike in EU4 you actually manage a state and the people which make the state. You won't push a button to change yourself or reform easily (unless totalitarian of course). Instead, most of your possibilities are dictated by economy and political will, where you only push people to the result you want, hopefully. A wonderful game.
HoI4. WWII, painting, politics. Really fitting for the time period.
Stellaris is a space game. I have not played it past 1.8, but even then it was already developing into a good space game with both inner politics, mechanics, painting, influence, terraforming... in other words, you change and influence the space well while managing state and encountering the exotic things in space. Really nice.
All in all I enjoyed each one when I played.