Stellaris (I haven't played any Paradox strategy games, and will start with an EU game or CK2... but how does Stellaris compare?)
Oh boy, a potential Paradox baby! I'll try my best to help. Feel free to ask more questions!
If you're new to the Paradox style of 4X games, I think Stellaris is a good place to start. While relatively new to the Paradox roster, and therefore lacking in features compared to the other games (which have a plethora of expansions and DLC to back them) Stellaris manages to include most of the key features that makes a Paradox game... well, a Paradox game. Someone diving fresh into Paradox 4X likely won't notice what's missing, and in fact might find the "simplicity" of the vanilla to be more welcoming than the smorgasbord that is CK2 and EU4.
To get a better understanding of what the game is about, I'll highlight some of the differences between Stellaris, CK2, and EU4.
Let's start with CK2, since its the fattiest tuna of the bunch. In CK2 the main "protagonist" (for lack of a better term) that the player focuses on is the current head of their chosen dynasty. Much of the game revolves around this character, which changes as time marches on, and a bulk of the choices the player makes is in service of improving this character. Since no single person exists within a vacuum, some of those choices branch out to include other characters - family, friends, allies, rivals, enemies, and so on. As a result, CK2 ends up becoming a strange hybrid of strategy and RPG, with an emphasis on simulating your own unique Alternate History sandbox version of earth. Its easy to get lost in your dynasty's story without worrying too much about what's going on in the rest of the world, hence why CK2 is often recommended as a jumping off point for those interested in trying out Paradox games.
EU4, on the other hand, is more traditional in its approach. The dynasty system is replaced with a government system, and the "leveling up" of character stats is replaced with various laws, tech trees, and resource management. That's not to say that CK2 ignores these systems entirely; rather, that EU4 focuses more on nations and less on individuals. As a result the win conditions here are more pronounced, the driving force of gameplay leaning more heavily towards empire building than it does character interaction. You can think of EU4 as a very complex version of Risk. Again, I'm speaking in broad terms, and its easy enough to decide to roleplay your nation much like you would your character in CK2 - and there are enough events and triggers with immersive flavor text to help you do so - but these features are not as robust and all-encompassing as they are in CK2.
As for Stellaris, it treads a middle ground between these two approaches. Emphasis is again placed on empire building, but here your "empire" takes on a personality of its own. The game encourages you to think of your empire as having a singular mindset, with its own unique morality and beliefs, and then pits you against other empires with conflicting, similar, or neutral beliefs. The Evil Slavers, the Galactic Peacekeepers, the Corrupt Businessmen, the Warrior Zealots - the races you encounter tend to fit into various archetypes that would be right at home in a typical sci-fi space opera. Empire management is more simplified than in EU4 (less resources to manage, easier bureaucratic and diplomatic management), and character interaction (between your various government officials, head scientists, military commanders, and planetary governors) is less fleshed out than in CK2. In its place are features and gameplay mechanics that can only fit in a grand space setting like Stellaris: alien abduction, genetic modification, robot uprisings, discovery of secrets left by long dead civilizations. I don't want to spoil some of the cooler events you can dig up, so I'll just say it gets pretty interesting!
Would I recommend Stellaris for newcomers? Sure! Would I recommend it for a Paradox veteran? That's a bit tougher. It's a solid game to be sure, and if you're a fan of sci-fi I'd absolutely recommend it, but if you were looking for another meaty Paradox 4X to sink your fangs into, it might be better if you wait for another expansion or two.
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