Another 'How long is a piece of string?' thread - hahaha!...string...thread - oh, please yourselves - because you'll be reacting to your opponent's moves. A general rule is that you can expect to be on the defensive as the Allies during the first few years of the scenario, because the Germans and their satellites start off with more powerful land forces and a variety of Theatre Options and offensive bonuses, which gives them the initiative. Don't be too ambitious, make the Axis pay for their inevitable victories, try to conserve the core nations of the UK and the USSR at all costs, even if you lose the rest of Europe and Scandivnavia. There really isn't much that you can do to save Poland, France, Yugoslavia, the Low Countries, Greece and Norway if the Axis player simply applies massive pressure: but can you cause enough casualties and slow him sufficiently to weaken the eventual attack on the USSR? The Mediterranean is usually an interesting theatre, because of the difficulty of attacking Gibraltar and Malta, and the relatively narrow front in the Middle East. Some Axis players feel that conquering the region is unrealistically easy because there are no supply restrictions of the sort that hampered Rommel (although supply must be traced from Benghazi or via Rhodes), and that a victory in the Desert is guaranteed by simply shipping in an endless number of German corps which can then turn north and invade the USSR via the Caucasus. It's worth strongly defending the region as the Allies, if this can be done without leaving the UK open to a sudden 'Sealion' (e.g. don't lose all of the early British motorised corps in a hopeless defense of France).
Eventually you'll have to defend the Soviet Union. Don't exhaust the Red Army in the Finnish woods and swamps, don't sit along the western borders waiting for the invasion, keep the air force at maximum range or out of it altogether, have a solid line of infantry corps behind a river with the mechanised and armour in reserve, leave small units of NKVD to blow the bridges and blunt the initial Axis advance, watch out for the German 'Barbarossa' bonus, don't lose Leningrad, Moscow and Stalingrad, mud and winter are your friends.
The tide will turn with the arrival of hordes of Soviet reinforcements and the entry of the USA, which will provide a - by then much needed - steadily increasing supply boost. At which point, regrettably, your opponent will probably concede. If not, think about attacking Germany's weaker allies such as Vichy France and Italy rather then a premature invasion of the Continent. You can still lose - I've done it - by trying 'D-Day' too early and suffering an Anglo-American disaster in Northern Europe. You only get one 'Overlord' bonus - use it well.
Reverse the above strategy for the Axis: you've got the units and the bonuses, use them to bring the Continent under your control as quickly as possible, perhaps try for Malta, Gibraltar, the Middle East or even the UK itself if they seem weakly held, generally avoid big surface battles with the Allied fleets unless they come into range of the Luftwaffe. Sooner or later, if you're going for a real win, you'll have to attack the USSR. Perhaps you can pressure the minor fronts like Finland and the Caucasus, but to win outright you need to take both Moscow and Stalingrad which means advancing into the Russian heartland. Try to read the Briefing: don't be surprised when winter arrives and you suffer a shock penalty; partisans will pop up behind your front in the USSR and Yugoslavia. Think carefully if you're tempted to activate Spain: is it worth it? If it becomes apparent that you can't knock out the Soviet Union you're still not obliged to stand still and be ground to pieces. Will a flexible defense keep the Red Army back for years longer than historically? Can you throw an 'Overlord' back into the Channel or prevent Italy surrendering? I find the Axis on the defensive an interesting challenge, although I know that a lot of games end when players realise that the panzer corps are going backwards rather than forwards.
I could ramble on in this vein for several more pages, but you get the point. I won't insult you by suggesting that you use concentrated armour and paratroops backed by the bombers to punch holes in enemy lines and put them out of supply for the infantry to grind down, drive for their capitals to force early surrenders, stop it Mark.