For me, it's Crusader Kings. I've tried a couple of times and can't get it. It seems like a game I would really enjoy if I understood it. Also, I think maybe I assume the goal is to "win" and be the emperor like right away but I'm probably supposed to be happy being a simple duke or whatever with a mind toward the generational long game.
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Victoria. I've been putting this off because I already know there's a huge learning curve. Paradox games seem to have a theme here.
For CK3 I suggest playing with DLC disabled and create your own character. Make him OP with a bunch of good traits. Matrilineal marry your starting female coutiers with guys with high prowess for your army, and look to see if you need a better marshall or steward than what you start with. Also, women can be good spymasters.
After awhile you'll start understanding how to survive the early game, and the best routes for succession.
For newbies I don't recommend the DLC until you are starting to grow bored of it, and then, only enable one at a time. Depending on where you start the Northmen invasions can be stupid unfair.
Also, check out south India for a peaceful, advanced start.