I always start with Germany, although i will probably make a lot of mistakes at first. Oh well. I'll at least try to build a decent Kriegsmarine, i love German fleet action. Then focus the German attention on the USSR, i m really looking forward to that. This game will be huge and i expect the fighting to be really tense and hard. More chance to get your nice German army units encircled and destroyed in the East im afraid.
After a German game, i surely try a Japanese one, love the Imperial Navy, cool battleships and carriers. Logistically an nightmare though with all these islands. Lets see how the US acts in the Pacific.
Then off course the Great Patriotic War. Nevermind navy or other expensive stuff, just build Red Army tanks, infantry, artillery and attack-aircraft and kick the $*&% out of those elite German armies. Steam all the way to the Channel.
I cant wait for HOI3, because its gonna be the greatest wargame out there.
All the best to you guys