Here's a shameless plug
There are three mods that I like. The HPP (see link in my sig), ICE, and the Random Scenario Generator.
ICE is for people who want more units, more techs to research, and want to play a scripted, historical game up until '42 or so. The mod has lots of new, very detailed events that help flesh it out.
The RSG is exactly that: random. You give it specifics, like how many nations, and it generates an alternate history for you to play in.
The HPP is an attempt to have the game make sense. No more "Cuba takes over the world", or "Soviet Union does nothing while Germany attacks Poland and gets the eastern area for free"; the Soviets will need to actually attack Poland to get their share, and might walk away with more if they push far enough west. What chain of events would occur if Hitler didn't split up Czechoslovakia for the 1st Vienna Award, or the UK didn't follow the appeasement policy? The HPP has alternative event chains for most of the major decisions, and some of our surrender events have a very good chance to make it into the next official patch (I'm pretty sure a watered-down version of our Vichy creation event will make it in; it's already in the semi-official event-mod beta). We also consolidated most of the infantry techs, as it didn't make sense for the player to research militia-specific weapons when most nations simply gave their old, outdated weapons to the militia. We removed the militia tech tree, and whenever a nation increases its infantry weapon techs, an event will fire that upgrades your militia to the next tech level. A complete overhaul of the naval and air doctrines was done as well.
I would recommend either of those three, but there are plenty of others you can find in the modding forum.
