I've always played the USSR almost exclusively (it's a long story). In the latest game (my second with HOI3) with no cheats other than tagging into the axis twice to look for amphibs that miraculously appeared in the Med - I"m assuming they landed 4 divisions by submarine!) we had a strategic victory in March 1943. IC was something like 750 (YIKES) and the Red Army could basically destroy anything it was pitted against. Start in 1936 so you have time to fix everything that's wrong with the USSR before serious fighting begins.
In short, I do not, ever, go with the purges. I strictly control expenditures and builds. No espionage and no diplomacy (except in rare circumstances). I focus exclusively on production, armor, infantry, and doctrine technologies. (with a small smattering of air as well, and a few subs, until later in the game) Re-org the army to make it sleek and efficient.
Strategy-wise: go with the MR Agreement if you like, not if you don't (i've done it both ways), and have your army ready to in 1940. Once the Germans attack France and the Low Countries, attack them. There will be some hard fighting, but generally, with them committed in the West too, you can smack them around pretty good in the end. Sometimes the Allies are pretty passive, sometimes not. If they're aggressive it can become a race to see who conquerors Germany first (capital chasing), or they sometimes take out Italy while you toast Germany. I am not overly aggressive or back stabbing and I think it pays off in the end for various reasons.
Be aware, though, that Japan will DOW in the Far East instantly. Unless you seriously weaken your western front, you will have to fall back and hold them off rather than make a stand in the Far East. In the end this matters not at all. After Germany is waxed, you can transfer enough forces east to push them off the continent with ease (just takes time). In general, I am prepared to withdraw all the way to the vicinity of Baikal in this stage of operations (though this has never been the case, we usually end up holding the line east of there). I have yet to see someone hold Vladivostock in this situation, so let it go; you'll get it back later. Don't fall for the Japanese chimera. The deadly threat is Germany - Japan is a walkover once the Krauts are put down. From there it's all down hill. Oh, I usually pull the navy out of the Far East before hostilities begin. They can't stand up to the Japanese navy, so why throw them into the fire? Move them west and use them to augment the escorts for your transports (in the black sea and the baltic for minor amphib ops and the like)
If I'd pushed, I could have probably gotten this strategic victory in 1942, but I try and be historical in many respects and not just a cutthroat.
For what any of that is worth.
LR