The Demo for Europa Universalis IV is available on Steam now. I have just started playing it a few minutes ago but I have heard good things. You were not really limited in what you could do in EUIII as a large power but now it seems you really have to make meaningful decisions, which is the core of a good strategy game.
EU III with all expansions (well the last one didn't do anything for me, but the first 3 were exceptional) is the best strategy game I have played. I think EU IV will pick up from there.
The full game is released in Tuesday.
EDIT: IS there a new limit on the number of characters in a topic title?
EDITEDIT: http://www.gamesas.com/topic/1173131-the-paradox-interactive-grand-strategy-games-thread/