Contested Sequel: The fandom is really divided on whether EU II or III is the superior game (though III has won more supporters with each Expansion Pack).
And again with EUIV, the fanbase is divided on whether it's truly a better game or just EUIII with better graphics. All sides can agree, however, that both games are awesome.
Broken Base: Comes with practically every update to EUIV, with some saying that Paradox is destroying the fun of the game in attempts to nerf exploits, while others say that the changes are necessary to stop the game from being too easy.
Demonic Spiders: The Divine Wind expansion pack turns the Golden Horde and Timurids into these for everyone between Eastern Europe and China.
Good Bad Bugs: The AI does not understand the concept of attrition. It's entirely possible to lure a large army into your territory, Scorch the Earth in that province with a fast / sacrificial unit, and let that (or the winter) whittle the enemy army down to almost nothing.
The flipside is that naval attrition has to be disabled for the AI, leading to things like Ottoman territories in the Baltic, or Castille owning Finland.
Naval attrition in European waters is nigh-nonexistent anyway.
If the player starts the game anytime later then 1399, the game would remember all changes that happened since that year and mention them in the country's history log. Start the game as the USA anytime after 1797 and read how George Washington's period was only remembered for his drunkenness!
Memetic Mutation: On the forums, someone started a thread titled "Can Poland into space?", which is itself derived from Polandball. This has become a minor meme, with the Strange Screenshots thread containing many instances of nations claimed to "into space" - apparently it's the new word for "blobbing". The backlash is summed up by this image◊.
Ascended Meme: As of Divine Wind, "Poland can into space" is an achievement acquired by reaching maximum level in all technologies as Poland.
Also, "Spain is not the Emperor." It appears on the loading screen as a hint. And it was followed up with the achievement "Spain is the Emperor."
From Europa Univeralis 4: "You can never have too much grain". Cue threads and threads devoted to the awesomeness of grain and grain-inducing puns.
"Steppe Wolfe" - common on the Something Awful Forums when describing a game that's gone horribly glitchy, ahistorical, or involving Bulgarians. It's a reference to a So Bad, It's Good mod which had, among other things, a bug in which during the fall of the Soviet Union the country of Estonia somehow manages to secede from every single country in the world simultaneously and go to war with all of them. It's also one of the few mods where you could get this message (paraphrased): "My lord, news from the country of the Soviet Union: They have thrown off the shackles of their former master Quebec and are experiencing freedom for the first time in ages!"
Most Annoying Sound: The sound effect that plays whenever there is a rebellion in your country. You will come to loathe it if you try to establish a wide empire by conquest.