Crusader Kings deals a lot with individual characters, their relationship, and has a lot more roleplaying in it. You can have a character that starts as a count in say Germany, and because of inheritance and marriage you set up your son to inherit Poland so when you die you are now playing the king of poland and your brother is ruling that county in Germany. The combat, trade, province development, etc is much lighter.
Europa Universalis is much more focused no war and map painting, its basically a complicated game of Risk. There is more focused on trade routes, and developing your nations provinces. But you just play a country, you can change dynasties or change to a republic. It doesn't really matter. You might change the country you are playing, say if you start as the Duchy of Milan, and you conquer Italy and crown yourself the Kingdom of Italy. But there's always a direct line.
Imperator is a Roman era game that is a mix of these two ideas, more character interactions but more focused on the country.
Victoria is an 1800s victorian era game that is really focused a lot more on technologies, ideology, and economics. You play a country and Its about industrialization and colonization and trade. The war is usually a bit more simplified, but the economy is a lot more in depth with resources being consumed to create new resources for production.
Hearts of Iron you also play a country but in WWII. But its also relatively simplified economy and ruling of a country. Instead you focus on conquering and has the most in depth war mechanics where you are really managing a lot of minutae of battle lines.