Yeah, basically, though the newer games tend to have more refined/added features. CKII is great (and EU3) but if you really love a specific time period, I'd go for the one in that era if the prices are comparable. (I haven't played EU4 yet.)
Hearts of Iron is slightly different from all the others because it takes place during WWII so games tend to be more war focused.
EDIT: Also the later period games have larger/stronger states like in real life.