Hearts of Iron II looks interesting. Wish I had the money.
It's very military based. I chose to play Argentina at first, just to re-arm etc. By the time the war came around, I declared war on the Axis powers and had some interesting naval battles, followed by some financial aid going both ways.
Next time around I was Estonia :/ I built up good relations with Germany prior to the war and the Soviet Union left me alone when it did the carve up in 1939. Germany invaded the Soviet Union in 1941 as planned and I had to grant them access. As a result they were better able to attack (and take) Leningrad and advance on Moscow....
In short it's a fun game