I quite enjoy Hearts of Iron 3, but I only started playing it recently, and although I won WW2 as Germany by November 1945 (well, basically, I was still against the USA but lost interest because of the effort of building such a huge fleet at that point being too much. I'd just kept the one front war, after France was knocked out, I slowly beat the British out of the middle east, and then puppet stated the rest of Europe + Iraq (Persia had already joined the axis) so I could send my army through to easily seize India from the west, and then occupied the British Isles. With Britain puppeted (I made sure not to destroy their Indian forces), when I invaded the Soviets, I was able to attack in Europe, have Japan attack in the east, and Britain into central asia, and my other army attack through the Caucasus. Made victory rather easy, especially after I trapped half the southern Soviet forces in the Crimea via landing a bunch of marine divisions to cut off the eastern exit.
I've not tried another game yet, though.