Hearts of Iron III seems to be the most complex Paradox game yet. Me and Masahiro have only spent a few hours playing the game but we were utterly overwhelmed by it.
I'll compare it to Europa Universalis IV as I'm very familiar with it.
In Europa, your armies consist of infantry, cavalry and artillery and each army can be assigned a leader that improves their maneuverability, siege capabilities and the amount of damage each army does. In Hearts of Iron however, your military is divided into brigades, divisions, corps, armies, army groups and theaters and you can assign a different leader to each level on the chain of command with their abilities affecting every group below them. There are also far more units to choose from - light infantry, small arms militia, a variety of tanks, intercontinental ballistic missiles - and dozens and dozens of ways of combining them.
Leaders also have skill levels and a variety of traits rather than just improving damage done, maneuverability etc. They could affect morale, reduce the amount of supplies needed, increase damage done to fortified positions etc.
You also need to have each division connected to a corps in order to receive supplies, and each corps needs to be connected to an army, an army to an army group etc.
Technology is more complex too. In EUIV, you accumulate administrative, diplomatic or military points which can be used to improve you administrative, diplomatic or military technology. There isn't really a technology tree. In HoI III there are dozens upon dozens of different things that can be researched - tanks, ships, aircraft and anti-aircraft units, industry and espionage, nuclear technology... These two images demonstrate these differences well.
Europa Universalis IV:
- EUIVresearch.jpg (167.81 KiB) Viewed 4921 times
Hearts of Iron III:
I've heard that Victoria II is also very complex but I haven't played it yet. When I do I'll post my impressions here.