France is my favourite nation to play. The sense of urgency in preparations and importance of making the right decisions about what to focus on. You can't have everything, the germans are going to be superior in either air or armour and you cannot give up infantry techs and doctrines. You will fight in several theatres, but not that many that you have to constantly pause and go back and forth across the world. You need to manage your manpower, resources and leadership to get the best possible effect out of what you have, and done correctly you can still come out winning without letting a single enemy step onto french soil.
I find that the french situation gives me a good balance of having things that I simply must have and a few options of things that I can have, as well as battles that I must win and battles that I can give up and still survive. It allows for a few minor mistakes, but each one of them will have consequences. Every decision is important, I don't find that the other majors provide me with that sort of challenge.
My standard approach is to rebuild the army with focus on inf/art and inf/at divisions. Once I have my base infantry force built, I don't build many new infantry divisions and focus my manpower on tougher units and air wings. Later I will upgrade some of them to improve hardness and speed. Ignoring speed for my armour, I don't expect any quick breakthroughs and I want to primarily defend and possibly threaten some flanks occasionally. Heavy armour are as mentioned above really awesome, I tend to use them as moving fortresses that can plug weak spots as they occur. My main defensive tactic is to have five or six divisions on the line that can hold and fight the enemy long enough for reinforcements to arrive, and then reinforcements forces that are focused for the job - heavy armour to stop german tanks on plains, engineer forces to stop them in rivers and fortresses and infantry for defending in urban, mountain or other difficult terrain. For aircrafts I focus on interceptors, but I accept that I won't gain superiority and primarily keep them stationed to be used in key battles to offload the ground forces from air attacks.
I find defending in Belgium quite doable, Brussels and Antwerpen are great key points and I can keep huge numbers of the german army tied up there indefinitely. The biggest issue is that the AI will send large amounts of exp. forces to the Belgians, which they won't be able to maintain and reinforce, so I end up with stacking penalties caused by Belgian forces with inferior numbers that don't contribute much to the battle. Asking the AI to defend in my lands will send some of those forces my way instead. The massive clogging of divisions in Belgium can also slow down org. regain rate, so I prefer to withdraw my worn down forces into my own territory to recover faster. Despite having to travel longer distances to and from the frontline, this tends to keep the frontline recycled with fresh forces more frequently.
Once the Soviets throw their chips in, I turn to offense in order to take as much german land as possible before the communists take it. Usually it is only a matter of months before the curtain goes down on the third reich by then. Depending on how the AI did elsewhere, half the world may be occupied by Japan by then and the second part of the game begins which is far less interesting, as it is mostly just a matter of painting the map of Asia.