My best game so far has been as Romania. Early conquest of Hungary took a bit longer than I'd liked it to, mostly because I was stupidly low on manpower and attacking across a river is rather costly. Then, once I got that shit under wraps, I figured I'd go fo Bulgaria since they're small and not dangerous, plus it opens up the route for a possible Greek invasion as well.
Trouble was, they join the Axis a day before capitulating, dragging in everyone on their side. Luckily for me I was in the Comintern at that point, and instead of the Germans pulling a fast one and kicking the USSR in the balls the reverse happens (and the Germans still get blamed for breaking the M-R pact) and the reds sweep south from Poland and into my lands to help defend against the enemy. We hold the southern front rather easily, even managing to liberate bits of Austria all the while the entire north is slowly but surely pushed back towards Berlin.
I help out by sniping any victory points or resources I can and sure enough, the war ends by '41 I think. I got some nice chunks of germany for myself and now have some good resource income, with a bunch of factories to make use of it all. The only issue is manpower still, because my population is stupidly low, and even with some bonuses I'm still barely breaking a couple 100k fresh men at all times, which is going to be a real problem if I want to take over the rest of Europe :V