The Clauswitz engine from Crusader Kings 2 makes this the first EU game look modern. The units look better and the main screen images look sharper.
Also, the colour tones are more subdued so it doesn't strain my eyes the way it did for EU3 and Ck2.
The trade system has been completely revamped so now you have trade nodes as well as a system to show the direction that trade flows. This adds a whole new dimension to the game and mimics reality. Remember how Napoleon invaded Egypt to hinder British trade? Now you can do that too.
Another huge change with EU4 is you now have a set of points to invest in research and ideas. This means that countries that mint money aren't necessarily going to be more advanced and creates a more balanced end game unlike EU3 where you could vassalize half the world and be a tech superpower. There's also another element to strategy since these points can also be funneled into ideas as well as provincial tasks so you need to juggle the direction you take. Do you hold back tech research in order to temporarily get a boost in naval morale or would you rather have that fancier ship building in your dockyard? The points system depends a lot on your monarch so there's a certain bit of luck involved as to how your country will fare. Overall the depth in the idea hierarchy makes this very interesting and shows how much thought Paradox has put into the design of this game.
Small changes such as exponential costs for colonists also means that you cannot colony-spam and results in a more realistic new world, with various powers competing for a slice of the colonial pie.
The sound is sharp and the music is historic so you do feel like you're in the renaissance era. On the negative side, this game does have a slight learning curve with learning how to optimize your gameplay, even for a long-term strategy and EU addict like myself. There is also a forge claim option which I personally don't like since it reminds me of CK2 and seems ahistorical but it certainly helps make the game more fun and also a bit euro-centric if you're playing a European power since getting casus belli to invade heathens and primitives takes a while in the new idea system. Loading a saved game while playing a game takes a bit too long but a quick fix is to go to the menu and load back. I'm sure they'll fix this small snag.
Despite this and some small design shortcomings such as how the AI navy doesn't take attrition, the game plays smoothly. There have been a tonne of improvements with unit management, path navigation, production that really adds a layer of luxury over EU3. The diplomacy interface is very polished and transparent with great features like coalitions and balanced vassal system.
All in all, this looks like a great game with insane amounts of replayability.