At the beginning of the Victoria 2 timeframe, sailing ships cruised the seas and horse cavalry still ruled the battlefield. But by the end of this age, armoured steamships plied the waves, cavalry had mostly been phased out in favor of artillery, and the scouting role of the horse-soldier had been taken over by the aviator, buzzing above the trenches.
Players of Victoria 2 get to experience the excitement of developing new inventions and technologies, because your success in the game so depends on them! You'll be waiting for that new fabric loom to make your factories more profitable, or for the new machine guns to bring victory in the field.
Not every discovery is a machine. Countries can earn prestige by developing new ways of thinking, whether it's a novel banking innovation that makes business better and profits larger, or a new school of philosophy that helps people understand themselves or each other.
Those countries which neglect the research of new technology will fall by the wayside, unable to keep up with foreign powers whose economic or military might outpaces them. This is survival of the fittest, and being "fit" means having the latest ideas and hardware.