Europa Universalis III Chronicles is the package that contains all the expansions for EU3. It's $30 on Steam right now, and it's what everyone else is playing.
Beware that you cannot "downgrade" this version to run without Divine Wind, which means that you fx cannot run Magna Mundi. As much as a I love steam, I recommend getting EU3 from gamersgate.
What is Divine Wind and Magna Mundi? So this game is better than all the older ones?
Divine Wind = Last released expansion for EU3. The expansions are (in order):
Napoleon's Ambition (adds revolutions and enhanced late-game tech)
In Nomine (LOT of new features)
Heir to the Throne (adds in royal families, enhanced casus belli, spheres of influence, and a lot of other goodies)
Divine Wind (more unique mechanics for China, Japan and the Mongol hordes)
To confuse the issue more, there's two compilation packs available:
EU3: Complete (base + NA + IN)
EU3: Chronicles (base + NA + IN + HttT + DW)
Because "complete" actually means "half-done".
Magna Mundi = popular fan-made mod for EU3. MM Platinum is only compatible up through Heir to the Throne. Which means that if you wanted to play it, you'd need to either buy the expansions seperately, or get the "Complete" version and then just HttT as an add-on.
Now....if you're asking about which is the best of the entire Paradox series....that's a tough one because they all have different focus. Hearts of Iron is almost purely a strategic wargame, while Victoria is focused on economics and politics. Crusader Kings is heavily concerned with strategic marriages and inheritance, and Europa Universalis covers a little bit of everything.