Oh man, I've sunk countless hours into CK2. Such a rich game and I highly recommend it. This post pretty much lays out a facet of what I love and alludes to the bigger picture: start with a historical setting and run with it, often diverging. One game I became the king of Ireland and then somehow the king of Britanny. I then only had female child heirs. They got overthrown and ended up cast out of Ireland. I was intr…
The point about historical divergence is spot-on; a lot of the fun is in having some familiarity with the way things actually turned out, and comparing it with whatever ended up happening. During lulls in activity in my own kingdoms, for example, it's enjoyable just to look around the map and see what the heck is going on elsewhere.
Speaking of alternate history, I recently started getting into Hearts of Iron IV (which takes place during WW2), but actually have been getting a lot more enjoyment out of the mod "Kaiserreich" instead of the base game. Kaiserreich is an alt-history mod where Germany wins the First World War, and so by the time the game starts in 1936, the world is already quite different-yet-familiar (the US on the brink of a second civil war, France and Britain taken over by syndicalist revolutions, the British royal family exiled to Canada and attempting to retake the Home Islands, etc). Definitely recommend looking into it, if for no other reason than to read the lore on their project wiki ( http://kaiserreich.wikia.com/ ).
I've also thought about how interesting it would be to link up the Paradox games, and there are importing tools that kind of do the job, but having everything in a single game would be hard to achieve and still have the deep complexity that we enjoy. Modelling the feudal world of medieval Europe is fundamentally different than the nation-state-focused world in EU4 a few centuries later. I fear that any attempt to merge the two would end up like the Civilization games, which achieves a start-to-finish continuity but at the expense of losing a lot of interesting detail.