Go for the two (or more) spanish states as soon as the war starts, while they are fighting nobody will stop you (and you get to attack gibraltar from two directions later). Before joining germany you can annex vichy, again nobody will interfere (although you will be regarded as a bad boy), best would be to take the indochina provinces too, there is some rubber and a great base to attack the netherlands provinces, australia and singapoore - no more resource problems (you can build up a huge industry this way). Don't join the pact with japan though, you'll loose all those provinces then (or edit the scripts or your game file later).
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Edit: By starting the wars in spain and albania you might rise the allies (it seems especially the french) war entry. In my last game france dowed germany in '36, leaving the alliance, poland joined in the fun and declared war on germany too. There was vichy soon (still '36), even before japan had changed it's gouvernment, so I could snatch it all. My italian empire grew extremely powerful, the allies where overwhelmed relatively easily. The germans could take care of the russians, in the early 40's there's only the usa and some south american allies to take care of (and a few provinces of russia still fighting germany). The world is painted in green with a grey blob in northern europe. I still have to finish that game... It will be interesting to fight the germans in the end, less than total world domination is not acceptable for the new rome
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Edit2: I forgot china, nobody will hate you for finishing what the japanese fail at...
