While I mostly agree with marxianTJ's assessments, there are a couple of counter points to consider:
If you build a lot of military units early on, you're going to need to supply them for the next several years, and that will quickly start to eat into your production budget (well, technically you CAN shut off building supplies and let your troops starve until a couple of months before the war, but that's ridiculously gamey). I tend to front-load all of my non-supply-using construction, such as any air fields, Infrastructure, IC, and convoys that I intend to build. You end up with less military units early on, but potentially more later.
Practicals are a major consideration, so you SHOULD probably put "one of everything" (at least one, and a lot more Infantry) in the production queue to keep them on the rise. I tend to ramp them up gradually, because an early increase will tend to cause higher decay over time (it's a percentage), so if you start boosting Practicals slowly art first by dedicating some IC toward more factories, then start to ramp up military production once your new IC comes on line, you eventually end up with almost the same thing, but with a bit more IC to work with. It's dependent on so many factors (minister bonuses, techs, laws, etc.) that an accurate comparison is really difficult.
Depending on country, as said, either building IC pays off big, barely pays, or is a waste of IC. Germany is on the borderline, where it's potentially a short-term slight negative in 1939, in exchange for a significant long-term increase after 1940, provided that you can supply enough resources to feed that additional IC. That can either mean stockpiling (huge early trade deals with the US, SU), trade deals with overland partners (Netherlands, Soviets), or looting the stockpiles of other countries (Netherlands, Belgium). Note that taking a country and looting their stockpile while you've already got your own massive stockpile can mean an overflow, and anything over 100K is lost. With Germany, I can usually feed another 15-25 IC without too much trouble, and 30-50 if I really work at it, with the risk of wasting some of the extra for lack of materials to run it, if my stockpile runs out of Metal or Rares.
Playing Italy, for example, it really doesn't pay unless you expect to conquer a lot of valuable land and use harsher occupation laws to extract enough resources to feed it (meaning higher garrison requirements).