Actually, I can't say that I ever "finished" a HOI3 campaign. Once I've defeated the SU and UK, it gets increasingly tedious to manage and pacify all of the additional territory in the eastern SU, India, and all of the remote islands that you end up with, and which can't be released as puppets without also releasing the whole major country. I've fought against the US in a couple of campaigns, but essentially got tired of the world-wide micromanagement long before conquering them. Other campaigns, I'm constricted by the actions of a faction leader, and if they run themselves out of manpower or some resource early on, then the whole game goes sour in a hurry.
I still fire it up now and then to try some other country I haven't played yet, but I'm getting pretty close to "tapped out" with it.