EU3 started off a bit meh, but after the expansions it’s the best grand strategy game imo. I love to unify countries. I think in eU3 the most difficult one is Brandenburg>Prussia>Germany. You start off as a lesser partner in a personal union with Luxemburg and have to worsen relationship with them to have a chance of freeing yourself. Then you have to fight at least the Polish, Pommeranians and Teutonics to get your core provinces for forming Prussia.
And apart from the wars and politics you also need to keep an eye on your technology, religion, trade, colonization, missions, etc. Trying to become Holy Emperor, get the favour of the pope, etc is great.
And one thing i like about it is that it isn’t just a metter of throwing money at it to get your way. Getting bishops from your realm in the holy see is quite random, and money helps it just a little bit. Taking National Ideas that increase piety helps, but it is never certain. Same goes for votes to become emperor, etc.