I know the general rule: when it's said generally, you don't use 'of'; when it's specific, you do. But again, as with pesky articles, the trouble is figuring out when it's specific enough and when it's not (usually, grammar books assume it's obvious and doesn't need clarification — wrong). Is 'EU members' in this example specific enough? It sounds natural without 'of' to my ear.
most (of) EU members
You can say either
Most EU members
or
Most of the EU members
If it's specific enough to use of, then it's specific enough to use the definite article too. In this case, we'd be more likely to use of and the if the group were further qualified, for example
Most of the EU members that signed the treaty of Antwerp also implement a VAT.
Now we're not talking about most EU members, but most of a certain sub-group that we define.
We can also use most of with a possessive article:
Most of my friends like chocolate
Or in the specific construction "most of all":
Speaking of ice cream flavors, I like vanilla most of all.
