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 intrigued by that so I started a game as a count in Britanny. Worked my way up to the petty king of Britanny. Somehow engineered inheritance of another duchy - became a proper king of Britanny and then somehow became king of Aquitaine (so the king of half of modern day France).
EU4 is another fantastic game based on the same engine. Less focused on dynasties and more geopolitics/colonisation, this also throws you into historical settings. As Portugal, I became holy Roman emperor - they got into a fluff where no one liked each other so I was the only choice even though I wasn't in the HRE.
I'd love for Paradox to officially "link up" all the games so you can go from ancient Rome all the way to say the modern world. That would mean EU: Rome and Victoria on the new engine and also a new cold war era game they definitely need to make (focusing on modern geopolitics).
Clearly a secret Paradox fanboy!