I've just played my first DI:G game past 1941.
1) I enjoyed my invasion of the USSR. I made one big mistake, which will not happen again, where I didn't have the correct troops to take Leningrad. But one thing that really terrified me was the supply situation. I had all supply techs up to date, the RR tech, and never really had a situation at the front where my troops were unsupplied for any amount of time, but I was using 250+ plus IC to keep my army supplied. It is a good thing I defeated the USSR in the Fall of '41, because using that much IC for supplies is unsustainable for the long run. You could hardly build any units or do any upgrades with that much of your IC sucked away. And I shudder to think what the IC cost would have been in the winter!
2) Bulgaria. As far as I can tell it is impossible to get Bulgaria into the Axis. I sent the max spies there to support my party right from the beginning of the campaign, but I still don't have enough party support for a coup attempt. On the diplomatic side, they are firmly in my camp, but their neutrality is too high. They need an event like Romania has.
3) The US. I invaded the US in the Spring of '42 (by the way of the Faroes, Iceland, Greenland, Labrador). I puppeted the US (and Canada) by spring of 43. I had also asked for territory, West Coast Cities, which I got. But I also got Joplin, MO and Lexington, KY. I don't know if that is a FTM or DI:G issue. I've never played the US, so I didn't really notice the US terrain before my invasion, but so much of it is just WRONG. NYC is not urban? I live in central VA, and none of the terrain is correct there. The Blue Ridge Mountains and the Shenandoah Valley are not "plains."
4) Didn't have a chance to use the new u-boat warfare; I invaded and conquered the UK by the Spring of '40.
5) I'd really love to have some unique units earlier in the game. I didn't have a chance to use any of them. Waffen SS units perhaps?
Anyway, those are my thoughts. Great job all!