I hear Europa Universalis is like that. I tried to play it but couldn't even read the bloody font! It was too blurry for me.
Yeah, I hear it is pretty unforgiving.
That, too. KoH is much more easy to get in to. Just wish it had more depth to it. That's a tough balance to do, however. Easy to learn, but once you learn have a lot more to do.
I think maybe Civilization does this pretty well. Maybe. Crusader Kings definitely does not. Too high of a learning curve, but lots to do. Knights of Honour is on the other end. Easy to pick up, but not a lot of depth.