Some big-picture A&A Europe 1940 advice

The game mechanics favor large stacks over smaller ones. The bigger the stack the more hits you'll deal out per round, which means the fewer shots the enemy gets at you, and the fewer losses you'll take in an attack. Ideally you can make a stack that the enemy can't realistically attack without getting his forces wiped out. Cheapest way to do this on land is with large stacks of infantry. Adding in artillery is the cheapest way to add some punch to an infantry stack, as they cost only 1 more IPC, and give a paired inf a +1 attack bonus (so 10 art + 20 inf on attack, 10 of those inf are getting a +1 bonus). Classic example, Germany should want to create a big land stack and march it to Moscow; Russia should make a big counter-stack and attempt, if feasible, to stop or divert that march. If either side can gain a decisive advantage in that stack vs stack matchup, it can leverage that advantage into exerting control over more territory than it would in an average situation.

At sea, the best way to make a large stack is by having loaded carriers (CV + 2FTR) padded with some cheaper fodder like DDs and subs. Subs are bad for defense, but they are very cheap so they can be purchased in quantity to absorb hits, and they're quite good as an attack threat. A navy without transports and men to load onto those transports is of limited use, so keep your transports with your main fleet and have men available to load onto them so you can threaten attacks. In general you'll want to keep your fleet at a friendly harbor for maximum threat projection range. To max out the defense of a fleet, keep it next to an airbase with 3 FTR on it.

The concept of threat projection is key to playing well. If I can project a credible threat into a territory to wipe out any enemy force that can move in, I can effectively deny the enemy use of that space. Works on both land and sea.

One way to counter a mobile enemy threat when he has the stronger force is with a "picket" unit - usually a single inf on land, or a DD at sea. The enemy force may be able to move multiple spaces, but it can only attack once per turn, so by sacrificing a unit as a picket, a mobile enemy force (tanks/mechs on land, or any fleet - especially one with harbor move bonus) can be denied the full benefit of its mobility.

On the Politics end of the game - the ability to determine when Russia and USA can enter the war is a key choice for Axis. Axis can stall, and concentrate on killing off the other Allies early, but only at the price of letting Russia become rather powerful. Alternatively, Axis can attack Russia early (turn 2 or 3), which lets the US into the war earlier but makes it much harder for Russia to stay alive. So the choice of when to declare war (DoW) should be in alignment with what the game strategy is - if it's kill Russia first, then Germany should make lots of land units and move east right away to overwhelm them before the US enters the war and the UK can rally its scattered opening position. (When playing Global it gets more complicated, as an early Japan DoW can let the USA into the war early, and the US can attack in Europe instead of responding in the Pacific... we'll cross that bridge when we come to it.)