I'd say that you should try the game that you think covers the most interesting era. They all take some time to learn, but it's so worth it!
When I first started HOI3, I've quit after 30 mins of gameplay cause of how freaking complex it was. 1 year later, I tried it again, and I did it by "preparing" for the game by reading info on the internet about it for 2 WEEKS. And even then it took me about 3 days to get the hang of it. I learnt how to play EU3 properly in 2 days. So yeah...
The first I played was EU3, but failed to get a hang of it. Then I played a lot of CK2 and Victoria II (which I never found overwhelming, tbh), and looking back on it EU3 truly is a simple game.