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The religion system made of discrete and combinable parts in Crusader Kings 2 is definitely my favorite. You can build really cool and interesting religions with it, and I'd like to see that concept expanded upon.
 
My response; "It's not exactly a bullet point 'feature', but the thing most PDS games do best that no other series has, in my opinion, is put the player in the shoes of individuals or nations. CK2 gives players perspective on why Richard III murdered his young nephews. EU4 encourages players to push atrocious foreign policy based on economic needs. HOI4 puts players in a difficult position if they attempt to balk the conventional wisdom of appeasement. All of these things are accomplished not through any railroad game mechanics or hand-holding. Players often naturally reenact history without knowing it, making rational (and irrational!) decisions organically out of the gameplay rhythm."
 
My response; "It's not exactly a bullet point 'feature', but the thing most PDS games do best that no other series has, in my opinion, is put the player in the shoes of individuals or nations. CK2 gives players perspective on why Richard III murdered his young nephews. EU4 encourages players to push atrocious foreign policy based on economic needs. HOI4 puts players in a difficult position if they attempt to balk the conventional wisdom of appeasement. All of these things are accomplished not through any railroad game mechanics or hand-holding. Players often naturally reenact history without knowing it, making rational (and irrational!) decisions organically out of the gameplay rhythm."

My answer was quite the same as Cardolam's but this could have been my second choice if we had been asked for two features.
 
because it was so late at night when i signed up i kinda borked the question up and took it the wrong way somehow... for some reason i replied with my fave feature of PDX games being how unpredictable the games can be, like how you can be planning to attack a country/realm and something outside your control happens such as if i was planning to vassalize an empire in Stellaris and my target goes to war so i cant demand vassilization so i have to re plan, or an ally of mine calls me into a surprise war or simply just my target breaking up in rebellions and revolts.

i can understand why i took the question the way i did, but looking back i wish i could change it and say the Inventory system of CK2 (although i do stand by the unpredictability being one of my favourite parts of PDX games),
 
I put down HF pagan reformation. I like the stories my characters make but as far as changing the world around me reforming a religion is about the only non combat related way to do that (although most likely you'll have to fight to reform it. I hope that's changed a bit).
 
Characters for me. Always and forever. Basically they decide how I get immersed into a game. Could be strategy, action, RPG, etc. I am interested in characters, their stories, and their personality.

Plus that’s what makes court intrigue and emergent CK storytelling so fun.

That's what I entered as well, in a way it's sort of been detrimental because now I find games like EU4 completely soulless because monarchs are just temporary modifiers and their traits are completely random.
 
I've put the CK2 claim system as in all the way to get a claim: be it Councillor (the worse way), marriage, intrigue, landless guy invitation... basically 1 element to get with 50 different ways of getting it.
 
The religion system made of discrete and combinable parts in Crusader Kings 2 is definitely my favorite. You can build really cool and interesting religions with it, and I'd like to see that concept expanded upon.
I considered it, but once I something that works well, I tend to stick with it. I guess that if I was more creative, I would enjoy it more.

The new crusades mechanic is also fun. It lacks a bit of balance though.
 
1) Me being not the only dynamic agent in the world. What do I mean - in many mediocre strategy games AIs are quite passive and human player is the only source of conflict. In pdox games AI nations create living, fascinating geopolitical world with its own dramatic history of rise and fall of empires. I dont recall game which did this feel better than eu4 so far.

2) The level of attention eu4 gave to non-European world.
Probably the single most exciting patch for any pdox game for me was eu4 1.8 (art of war) due to the insane effort od completely redrawing and expanding the ENTIRE WORLD OUTSIDE EUROPE (it covered do many dev diaries too). And then non-Europe got National Ideas, missions, events, religious and gov mechanics on level of Europe or even transcending it (to the degree people started complaining 'it's time to focus on Europe' :D )
 
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I'll quote myself as well:

The character focus and vassalage system of CK. Sorry, not a single feature, but together those are greater than the sum of their parts. They form a powerful negative feedback loop I can't stop gushing about when I say CKII is one of the best strategic games around - since all such games need negative feedback loops and so few have them. While it could be tightened up a bit, the basic idea is excellent.

You're never too small to outright lose the game - since you're a character, not a country, the worst that happens is that you become a vassal of some higher power, retaining a lot of the options previously open to you and even getting some extra benefits out of it, along with the obvious drawbacks.

At the same time, you're never too big to trivialise the rest of the playthrough - as your realm grows and external pressure drops, internal pressure rises due to uppity vassals and potential for courtly intrigue. With the stat and mechanic bloat of late CKII that effect is lessened, but it's still much better than just always snowballing like you do in other strategic games, where the whole game is decided in the middle at best and the rest is going through the motions.