I have several cautions for that game:
Caution 1: Beware! Your navy can get inexplicably stuck in Denmark. I generally avoid sending any naval missions to the Kattegak region unless I control a nearby port. When this happens, they just stay there, immobile, until they run out of supplies and are destroyed by Germans in canoes.
Caution 2: Other countries are not guaranteed to behave as they did historically, especially when you start the game in 1936. Its always disappointing when you decide to play, say France, and just see how well you can do against Germany, only to have Germany decide not to invade Poland, and just to settle for Austria and Czechoslovakia.
Caution 3: Your airforce will drive you crazy: They will never attack where you want them to, because you CAN'T TELL THEM TO ATTACK A SPECIFIC TERRITORY. This is one of the biggest flaws in the game.
Caution 4: Brush up on your history. At various times you will be asked to make a decision on some point of internal policy. If you make the "wrong" or non-historical decision, this may have the effect of making later political choices impossible. To make matters more confusing, the computer frequently spits up random political choices that don't have any other effect besides what it describes. My advice: always go with the one that reduces dissent. Dissent SUCKS.
Caution 5: Bulgaria, Hungary, and Romania will all turn on your ass if you are unsuccessful.
Caution 6: Always take Berlin last. The computer has a bizarre program for the results of Germany's surrender. Basically, if you are an Ally, any european territory owned by germany that you do not occupy, will automatically be occupied by the Soviet Union. Imagine my surprise that time where I decided to bypass France by invading Norway instead, then crossing and invading Germany via Denmark. Result: COMMUNIST FRANCE!
Caution 7: The Italy bug: Historically, when the Allies invaded Italy, there was a coup against Mussolini, with the King declaring that Italy is now joining the allies. The Germans then set Mussolini up in charge of the 'Italian Social Republic' which continued to fight as a German Satellite country. In this game, any invasion of Italy will cause them to overthrow Mussolini and join the allies, BUT for some reason when the Italian social republic is created, it is created as a NEUTRAL country! It just sits there, blocking any further progress up the peninsula.
Caution 8: In spite of all this, it is a very addictive game.
Now that I'm done with the Cautions, I will proceed with my WTFs.
WTF 1: Japan. I have no idea how the computer manages to get anywhere with Japan. Whenever I play them I totally get my ass handed to me by the quarelling Chinese factions. Leave Japan to the computer.
WTF 2: Soviet Purges. The computer portrays Stalin's Paranoid Decimation of his own officer corps as TOTALLY NECESSARY AND RATIONAL! When 1937 rolls around, you are given the option to "proceed with the purges," or "these purges are not necessary." Of course they weren't necessary...but if you don't do the purges, your dissent rating goes up enormously! Its as if the computer is saying that these officers actually WERE plotting against Stalin, and he was totally justified in having them all shot! Bastard computer!
WTF 3: When you are playing Germany, you will find it impossible to invade Britain. When you play Britain, you'll find it very easy to prevent Germany from invading you. When you play someone else, Germany will FREQUENTLY somehow manage to invade and conquer Britain (in 1940!!!!). This can be annoying if you are playing a minor allied power, but can be exploited: Simply save the game then and there, reload, and play as GERMANY! HAHAHA! ITS 1940, I'M GERMANY, and I've CONQUERED BRITAIN! I don't even know how!
Oh, and to get the Atomic Bomb as soon as possible, it is simple.
Step 1: Play the USA.
Step 2: You see that guy named "Oppenheimer?" Keep him constantly busy with all things nuclear in your Industrial Technology screen.
Step 3: Expand your nuclear reactor whenever you have the chance (this will be more or less whenever Oppenheimer makes a technological improvement)
Step 4: When the computer says that a secret weapon "NUCLEAR WASTE BOMB" is available, GO FOR IT!
If you want to play Germany, then you'll have to settle for Heisenberg, who is nearly as good. No other country has anyone nearly as good as those two.