Should I play Hearts of Iron before Hearts of Iron II w/ expansions?

Solution 1:

Not at all. HOI2 is way better in every respect; playing HOI won't give you anything for story or game mechanics, since they both have same flow and time span excluding the expansions. It will be just nostalgic. :)

For playing EU/Victoria: actually they have the same engine but whole different approaches on gameplay. Each one gives different flavors and depths. Playing EU1 before EU3 is like playing Civ1 over Civ5; it won't affect your experience.

For me the best Paradox game is the one in the oldest time period, Crusader Kings; I spent ages on that game as I love the ancient days of small kingdoms. And having a say on your heir's genes and education was awesome. EU is too much of the big empires era, hard fights and less politics.

Victoria and HOI both have more depth but also more distractions if you like to play the main scope; they cut the flow a lot and I always felt like I am out of control all the time in both games. :)

Solution 2:

HoI2 Arsenal of Democracy is the best HOI game till today (unfortunately for HOI3 which has an amazing engine and research is done very well).

Victoria 2, especially the latest version is an amazing simulator of reality, most of the time I spent looking how my country develops on its own.