This game is arguably THE best game in the Paradox library, by a large margin in my opinion, if only for the fact that you don't get to play as generic "France" bit you actually get to play as the count of Paris, and scheme your way up to becoming the emporer of the entire Holy Roman Empire.

Considering the game was free, I'll just try to advise on which DLC are worth your time to pick up. I'll go in order of best/most features to smallest.

Holy Fury: Quite a few features from The Old Gods are rolled in, except for the start date. A large expansion for pagan realms, as well as Catholicism, including coronation for Kings and Emporers, with negative consequences for not being crowned. Pagans get warrior lodges, and the choice to fine tune their reformed religion. Some features are tied to other DLC however. Includes shattered/random map generation.

Way of Life: This DLC allows your character to choose a specific "focus" for a period of time, no less than 10 years, from shagging all the ladies, to focusing on becoming the worlds greatest commander, to fratenizing with merchants. It offers a ton of features and fun events to mess with.

Conclave: Changes the way some of the core game mechanics work. Notably, changing the way the councilors work, so they can have a say in the affairs of your realm. Some people despise this DLC because it admittedly makes the game much harder to handle. For me that's a good thing. Conclave also changed the way educating children worked, from more or less copying the traits of the educator to allowing you to choose a childhood focus for them which somewhat more randomly, but organically grows the traits of the child.

Reapers Due: You can't have a Miedeval game without the Plauge, right? This DLC massively expands on the way your character can die horribly, from the usual diseases, to changing the generic "maiming" to actually losing limbs in battle, or other events.

The Old Gods: Allows you to play as a "pagan" including the Norse Vikings, to plunder the rest of the world. This DLC is highly focused around the Norse and less so around the surrounding religions. It is a solid DLC however, and it does include an earlier start date than the 1066 date.

Charlemagne: Adds the story of the Karlings, a largely scripted series of events based around the creators of "Frankia" and the creation of the Holy Roman Empire (you can quite easily change history and ruin the scripted events (in a good way) if you want though). Includes a start date even earlier than the Viking age. The story is only relavent to the player if you play as either of the Karling brothers, or the king of Lombardy (Italy), otherwise, no events will fire for the player, unless the AI makes the Empire.

Legacy Of Rome: Adds flavor to the Byzantine Empire, and any characters within it. This DLC also introduced standing armies, called "retinues", which are permanent (semi)profesional armies on the map. This is a good DLC to get, even if you have 0 interest in the Anatolia area of Europe.

Jade Dragon/Rajas of India/Sword Of Islam/Sons Of Abraham: I tie these 4 DLC together, primarially because they allow you to play a non Europe centric group of characters and religions.

Jade Dragon allows you to play in the Tibet area of the map, and allows you to communicate with the Chinese, for boons, or banes, depending on how you treat them. This opens up the ability to play a Buhdist or Bön character, with a special government type allowing the ruler to hold temples without penalty.

Rajas of India i'm least farmiliar with, even after a few thousand hours of this game offline. I personally only have ever played in India once. However, it is an expansive DLC. Opens up Hindu and Jainisim.

Sword of Islam allows you to play as the variety of Muslim rulers across Africa, and Asia. Playing as a particularly powerful Muslim ruler can get extremely hard to manage, due to Decadence. Decadence ticks up over time as a result of particurlary impious family members, and once it reaches a certain point, it can become a full blown civil war.

Sons of Abraham: Implemented Holy Orders (Such as the Teutonic Order, Knights Templar for example) and also allows you to play as Jewish characters.

Horse Lords/The Republic: Both of these are tied together because they allow you to play entirely different government types.

Horse Lords has the most resembelance to EU4, due to the fact that you don't get to have a "levy" of troops, but instead a "horde" (standing army of pure cavalry). The government is also revolved around having empty lands for your horses to graze upon, which also means that when you successfully invade a "civilized" peoples land, you get to raze and pillage their cities, temples, and castles to the ground to make way for more grazing land. It's a very fun way to play, but it can also get very volatile internally should clans declare feuds against each other.

The Republic is the complete opposite. Instead of razing settlements, the nations you can play as in The Republic (notably Venice, and Genoa) revolve around building trade posts in lands bordering the coasts. These republics as a result tend to be extremely wealthy to offset the fact that in general, their armies are relatively weak. This DLC is also incredibly hard coded, and hard to work with, in some cases outright randomly giving you a game over, for no discernable reason. It's a decent DLC, but highly optional, in my opinion.

Monks and Mystics: This DLC is interesting, if only for the fact that Devil Worshipers were added with it. Most Christian nations have, more open, less nefarious societies, such as the Benidictine monastic order which your character can patronize. These orders give a variety of bonuses to your character and anyone they interact with. There's the Hermetics, basically philosiphers and wizzards, which can be very fun to play in if your character is smart enough (learning above 10) and not a tribal ruler. Then, there's the Assasins, a religious order, specializing in... well... asasinations. They're locked specifically to Shia true followers, but all characters who are not pagan can secretly convert to Shia as a result of showing interest in the society. Lastly, there's the (insert diety of evil here) worshipers. These characters get some extremely powerful clandestine actions they can preform, mostly including abduction of other characters TO START, going all the way up to performing miracles, such as regrowing limbs with some luck. Unfortunately, most non christian/muslim/eastern religions only have Devil Worshipers available to them as a society, so they are fairly common in pagan lands.

Sunset Invasion: A very ahistorical DLC, obviously. I'd personally avoid this one, mostly because it's pretty broken, and not fun to deal with. Think of a west coast Mongol invasion of Europe. At some point in your game, if you enable the features of this DLC, the Aztecs will invade Europe, with no joke, millions of men, who will stay there for hundreds of years.

Optional DLC
This DLC is COSMETIC ONLY.

Ultimate Unit Pack: It adds a variety of historically correct looking units to represent your armies as they move about the fields.

Ultimate Portrait Pack: Adds a ton of portraits for rulers of various cultures. I'd personally advise picking it up if you can. It feels weird sometimes having a West African character look exactly the same as a Bedouin character (not trying to be racist, but north/central africans are different peoples).

Dynasty Shield Pack: Contains a lot of historically accurate dynastic shields, such as the proper Arabic written onto the shield of the shields of most Muslim rulers, instead of a blank colored shield. Optional, but a nice addition.

Ultimate Music Collection: What it says on the tin. All of the music in the pack is amazing. I never knew I could like Metal until I bought Full Plate Metal and heard "We're that perfect storm" just as the pope called a crusade.