The fun in most Paradox games (the ones I played are EU2, CK and Vic and I assume HoI may be an exception), comes from seeing your country (or other political entity) develop over a long time. This is very much lost in short improvised "over the evening" games to a certain degree. I suggest you get into some nice long term games instead, though of course it will depend whether you are the kind of person who has a possibility to show up on a regular schedule.