First of all, none of the Paradox games are turn based. It's technically real time, but you can pause the game to make decisions and go over information.
You want historical empires? If you're looking for the history part, you have to go past the game itself and look at the big user modifications for it. Even though Victoria 2 and HOI 3 are out now, people still consider Victoria 1 and HOI 2 to be superior, but that's mostly through mod capability. Each game has a unique mega-mod that's out for it: Victoria had the VIP mod, EU3 has the Magna Mundi mod and HOI 2 had the AoD mod (which then got released as its own separate game, much like MM will be next year).
So Victoria 1 is up there. The VIP makes the game a lot more historical, at the expense of actual empire building, except in rather... unique cases. Let's just say Texas has the opportunity to defy history and become its own power in North America. The game mostly becomes condensed into certain moments where a lot of things can change.
I would recommend EU3 over it if it weren't for MM coming out next year. The game does allow you to build your empire and MM makes it quite fun and somewhat historical, at the expense of the game's maniacal randomness. Base EU3 has some of the most ridiculous outcomes ever, mostly revolving around France and Lithuania and their ludicrous starting power. It's quite fun in that regard, if you want it. It's also by far the easiest Paradox title to learn.
I can't recommend Hearts of Iron. I know people who swear by that game and who believe it's the best Paradox series out there, but I can't play it. It'll take me a long, long while for me to learn the interface and then be able to play it well.
I'm gonna leave on the last main title that Paradox has, which is Crusader Kings. It's unlike any of the 3 I mentioned above, is hard to learn and manage effectively, and it's not a game for the impatient. But it's IMO the most rewarding of all the Paradox games. There's nothing like inheriting 5 provinces and adding them to your dynasty. Internal management and family diplomacy are central in this game (your military size is mostly determined by your economy and policy, and weak counts must learn to be patient and seize opportunities, either through an advancement or an inheritance to expand and increase their power). This is the one Paradox title that doesn't really have a "megamod" - there is one mod that is widely used, DVIP, but it doesn't change the game nearly as much as the mods for the other games.
So if I had to recommend one to you, I'd say EU3 if you don't want to spend a while learning how to actually play the game. HOI 2, Victoria and CK all take at least one week to learn how to get good. Vicky's interface has a psychotic appearance and CK will make you scratch your head, but they're amazing games once you learn to play with them. If you're willing to make the sacrifice, go with Vicky or CK.
