My question : Can you import your save game files

from Europa Universalis Rome Gold to Crusader Kings Complete
from Crusader Kings Complete to Europa Universalis III Chronicles
from Europa Universalis III Chronicles to Victoria Complete
from Victoria Complete to Hearts of Iron 2 Complete ?

I don't believe you can convert from Rome to CK, but I believe the other ones are possible. I've converted from Victoria to HoI2 (make sure there are no rebels on the map). I'm not sure how Chronicles will affect Victoria though. There is a converter for EU3 to Vicky though.

Crusader Kings to Europa Universalis III, yes (there's a utility for that)
Victoria to HOI2 is possible as well just by simply copying the save games and the AI files

The other conversions don't specifically have tools or easy way to accomplish them.

EU3 to Ricky

Seems a bit more complex than from Vicky to HoI2.

EDIT: And it's apparently pretty buggy.

Another question : What is your favourite Paradox game and why ? ( Magicka excluded. )

Crusader Kings. You can't beat the feeling when your ruler develops paranoia & split personality, kills his only heir because of said paranoia, decides to end his own life leaving the kingdom at the hands of the daughter's child with another kingdom :)

Hearts of Iron 2-3

Nothing like using Australia to invade Nazi Germany in WWII. :)

I've only played Victoria and HoI2, but I prefer Victoria. I find the combat in HoI2 to be incredibly annoying, and I just can't get it. On the other hand, I greatly dislike the Civilized/Uncivilized mechanic in Vicky.

Same engine and such yes but if you wanted to make a grand epic game about your Spanish nation. It would be a lot better to do it for EU3 to Ricky to HoI2. I am actually part of playing an epic grand stategy campaign right now with some friends and we are going to start working on writing events for our Ricky run. You see, outside of EU3, the events need to be written for your nation and others since the older games like Victoria 1 and HoI2 used events to get things done. Here is person who basically had to convert each save for the next game. http://lparchive.org/Paradox-Hohenzollern/

Now, for best paradox game will be Victoria: Revolutions since there is more to the game than just conquering neighboring provinces. It is a game of making sure your pops are happy and they don't overthrow your nation. Well, if that happens, you can still play but it'll probably be a reactionary monarchy to a proletarian dictatorship.

Right now though, I am enjoying Darkest Hour which after a few patches will probably tie with AoD as HoI2 replacement. Nothing beats trying to change history as the Central Powers by holding off Russia as Australia while your friend who is playing Germany fights his way towards Paris.