If you aren't using Artillery, you haven't been living.
Artillery gives substantial benefits to infantry and militia divisions. In fact, they are so powerful that some people have modified game mechanics to reduce their power.
What are those benefits?
1) Lots of firepower: Using 1940 techs, artillery has a SA rating of 6 versus an SA of 4.4 for infantry. That doesn't sound like much, but since battle results and damage are calculated hourly, that's a 22% increase in firepower against soft units.
2) Reduced width: All that extra firepower that artillery concentrates into a single brigade also has zero width. A division with 2xINF/2xARTY (that's 2 infantry brigades and 2 artillery brigades) has more firepower than a 4xINF division, but also has half the width. I can put more divisions of the first kind into a single battle than I can of the second kind. That means that it further amplifies the firepower advantage it has by allowing greater concentration of force. Concentration of force = good.
3) Artillery brigades cost less manpower than infantry brigades. Anyone can benefit from the reduced manpower costs. Even the Soviets.
4) Artillery costs the same amount of officers per brigade that infantry does, but since it has more firepower, you get more firepower per officer spent with artillery than you do with infantry. That's a big deal for everyone. Yes, even Germany and its high leadership.
5) Artillery costs more IC-days than infantry, but it has more firepower per IC-day, so it's more cost effective in terms of SA than infantry is.