EU3 is bar far simpler than HoI and Vicky. I suggest you start out with this one. It takes some time to understand the mechanics, but it's not nearly as complicated as Vicky.

Then, once you get a good grip of the game, you can try another Paradox game. EU:Rome is easy, but is also quite bad. I suggest you try HoI2 or 3 and then Vicky (which seems to be the most complex one).

I'm in the process of trying HoI2, and once you get a grasp of how the game works, it's not that hard.