They are both complex games that you will need to spend some time learning.
That being stated, I found Crusader Kings II to be more rewarding an experience. In EU4, playing a good strategy lets you create a massive empire. In Crusader Kings II, I accidentally inherited the Byzantine Empire.
I just wanted an alliance with the massive nation, so I married the Emperor’s daughter. Something like 40 years later, all her siblings were dead and she was the Empress. When she died… my character, the lowly king of Abyssia, suddenly found himself ruling a quarrelsome people. A civil war broke out in a month. The term “Byzantine” politics really clicked for me after this experience.
As King of Scotland, I fought the 4th War for Cumberland with England, meaning there were 3 wars before it. Each war was a massive affair that required me to hire mercenary companies to survive. Cumberland itself? A single province. Yet, we fought 4 giant wars over it because… well, because.
Most recently, I was playing as the Great Duke of Perm, a small nation located in modern day Russia. However, as a pagan I was limited to Gavelkind succession, meaning all my sons inherit somewhat equal portions of my kingdom when my character dies. I did a good job expanding it (controlled 11 provinces directly and another 5 or 6 by vassals), and managed to limit myself to two sons so as to somewhat maintain the kingdom when I died. However, one of my sons died of pneonmia, I think the other was assassinated. Regardless, I didn’t have any grandsons, only 4 granddaughters, who split the kingdom when my character died. Now I was playing as a women in control of 2 provinces, and already married with an heir belonging to another dynasty. So, when she died, the game would end. I just went ahead and stopped playing then and there.
I love EU4, and it gives you a great strategy game to play. However, Crusader Kings II gives you great stories to tell. Because the best laid plans will go awry to fun and spectacular ways.