Italy ( From what I remember after playing Italy in the '39 scenario. The text will proably need some more work I think )
Italy starts with a decently sized army and airforce plus a large navy. Unfortunately, quality isn't too good in your millitary, as you are behind technologically. Quantity over quality is especially true for the Italian navy. Some of the most obsolote ships can probably be disbanded or converted to escorts right away, as they are useless and do cost supplies.
Italy got enough manpower and resources, but is short on Industrial Capacity. Italy do however got some 1-2 IC provinces that can be upgraded. Since Italy already got quite an amount of units, supply costs will be high. This limits IC avaible for research and unit building. Tanks will be probably be too expensive to build and research.
Naval bombers are the key to winning the battle against the royal navy. On land, a combination of infantery and bombers will work well.
Strategically. Ethiopia works best a puppet. If you annex them, it will be hard keeping the troops there in supply if you get into a war vs the allies. Expanding into the Balkans early can get you into trouble because of the spheres of influence. If you wait too long, Germany may take it instead, or recruit the balkan nations to the Axis. One solution is joining the axis early, and then going after the places you want immidiately.
Joining the Axis can give you the odd tech, protection against a Axis DoW for aggresion on the Balkans, adn the satisfaction of playing historically, but makes you vulnerable against a Germant loss against the Soviet Union. Joining the allies will probably give you more tech, but the problem with some angry german neighbours on the northern border. Staying independent makes aggression difficult because of the Spheres of Influence.
If you do join the axis, everything will be much easier if you can seal of the meditereanen by taking Gibraltar and Suez.
snoopdogg said:
Germany: Not as easy a game as the other two. You have the third best industry, good manpower, and not as many resources as they have. You do have some nice advantages over the rest of the powers though: arguably the best assortment of military leaders, the best starting military technologies, and a lot of land all around you waiting to be conquered.

Your main researching focus should probably be the air force(especially short range fighters and tactical bombers), land doctrines, industry, electronics and especially infantry and armor upgrades. Subs and other naval techs are up to you, but a strong navy isn't really going to be a necessity until you decide to invade the UK and US, and you've got a more pressing matter to attend to further east. The A bomb again is too much of a drain on your economy. Once you've gotten past the easy stuff will come your true test: the invasion of the USSR. This is probably where your game will be won or lost. Remember once you've gotten your rolling forward, you can lose a lot of that newly conquered territory. Far more important is to gain a local force superiority over the Soviets. So hit them hard with large mobile armies, and create pockets to encircle and destroy. Good luck and may the force be with you.
Some points that I think should be added:
1 ) Germany gets lots of land doctrines for free from events. This gives them an advantage technologically that isn't apparent at first glance. Also, it means that Germany shouldn't be researching land doctrines untill after the Sudentenland Crisis.
2 ) "Your main researching focus should probably be the air force(especially short range fighters and tactical bombers), land doctrines, industry, electronics and especially infantry and armor upgrades"... AND ARTILLERY.