If you can do Sealion before 1941 then you have a good chance to end the war. I've gotten the big peace conference a few times before US entry.
Tip: start planning the marine landings in Northumberland (best place to Sealion IMO) as soon as Around the Maginot finishes. This way you can turn the panzers around and be on English soil just days after France capitulates. It only takes 12 panzer divisions to clean up the UK assuming they are Panzer III.
Lastly, I don't really find the US entry to be all that daunting... Worst case scenario is when Spain doesn't join Axis and Gibraltar holds out until after you sail you fleet around the horn of Africa, through the Suez. (tip: have 2 panzer divisions already in Libya before the war even starts, ready to take the Suez)
Without Gibraltar the Yanks will keep invading random places in the Mediterranean and it gets a bit annoying.
After beating the USSR, in 1941 you can turn around and be in Boston by early 1942. The US Navy, like the Royal Navy, is a complete joke at that point and is completely unable to defend the East Coast. Key to taking the US Eastern seaboard quickly is to continuously invade major cities as soon as your marines are free. First Boston, then New York, then Norfolk, Virginia, and by that point the Americans will be stretched so thin you can flank south through Tennessee and north through Detroit to link up somewhere behind the Appalachians and encircle the entire US army. The US usually capitulates at that point. No need to even take Los Angeles.
Usually as Germany, total victory is achieved by 1943.
This is the biggest issue right now, it's just way too easy to play Germany.