Hearts Of Iron 4 probably

That's very debatable, my personal favourite is CK2 with Eu4 a close second. EU4 is actually on a humble bundle deal now actually, the game and all its expansions (minus the very first one for some reason, but if Conquest of Paradise seems like an appealing dlc you can always just wait for a sale or something for it) are available for like £13.

will try EU4 then

EU4 cuz I played too much

Stellaris is cool if you like RP-based sci-fi empire building game but it’s p easy

CK2

Depth V2
Overall CK2
More war based Heart of Iron III (depth) / Heart Of Iron IV (casual)
pd: EU IV has the best mod community of all and Stellaris it's also a great game
Also ALL Paradox games are great but his DLC poltics while make sense make the full games very expensive, so try the one which you feel you are going to enjoy more