They all have a rather steep learning curve, yes. There's not really a good beginner's choice, all you can do is jump in and go from there.
There are some differences between the games beside the time period, although they all have a similar frame work.
Hearts of Iron 3 is focused on the Second World War. It's a rather Spartan game, giving you a brief window in history that you can only really effect militarily. You manage production, move troops about and organize theatres, guard your supply lines and keep an eye on research. It's a more war-focused game than the others in the series. Great fun, though.
Crusader Kings 2 is more about court drama and individuals in power, rather than countries. You play as a specific character, a noble with different personality traits and resources. You do the usual troop movements over a map, but there are much more focus on intrigue and relations. When the character you are playing as die, their crown heir is the one you take control of, which can end up going hilariously wrong if your groomed firstborn die and you end up playing as an insane freakchild with hardly a thaler to his name, with rival barons closing in to divide up dad's fortune. Damn fun.
Victoria 2 is set during the industrial era, and is more about developing and expanding your nation state. Curiously, while war is an option, moving little soldiers around the map is often the least efficient solution. It's a fun look at the era, but it's the least friendly introduction. It's a bit too complicated for its own good.
Europa Universalis 4 is the old bread and butter of the Paradox series. It's fairly straight forward. You take charge of a country during the 15'th century, and fight and plot your way to glory from there. The other Paradox titles tend to focus more on one element (like court drama or combat), but the EU series tries to have all the usual trappings of the genre in equal measure. Religion, economy, diplomacy, subterfuge, moving men around the map... All are there, and all are tools in your belt.
None of them are particularly easy, but I'd suggest Europa Universalis 4 as a starting point. It contains most of the elements present in all the other games, and is the best way to simple see how you feel about the genre at large. The focus is a bit more general, and it might connect better with experiences from other games.