Playing as the Axis I defeated Britain, but before that happened the US entered the war so I was forced to keep playing. One strategy I used during operation Barbarossa was to have the Italians invade Greece and Turkey. This allows you to invade the Caucuses much faster, even if you decide to stop at Istanbul you can still send troop transports through the Caspian Sea allowing you to launch a seaborne invasion of the Caucuses.
Just a bit of advice, when playing as the Axis do not attack Norway until after you've defeated Britain. As doing so will cause the British fleet to interfere, and losing one of your cruisers will make Operation Sea Lion virtually impossibe. As the allies do not attempt the low countries gamble this is where you declare war on the low countries to either deny Germany the plunder points or actually conquer the low countries to establish a defenselive line on the Rhine. This will cause the Italians to join the war much quicker and the cost of defending on two fronts is not worth it.