The trick to enjoy this game is to put the difficulty on very hard. The first time I played it I played it on normal difficulty, and I never fully realized the potential of the game: I pretty much steam-rolled every other country. It also helps when you learn the tricks of the trade. For example, in the military unit icon it is listed what region a unit is supplied from; you will want to send transport planes (air supply) to that region, or atleast I think that is how it works. The Statistics list screen is also not as useless as I first thought by clicking on next, and previous on the bottom of the page you can get to semi-usefull city statistics. It also helps to google how many tanks a brigade has in Hearts of Iron 3. Some people say around 140-200 tanks in a brigade. You can also google other unit numbers.
Even on my first play through I played the game for hours on end, but I got bored eventually. I put the game away for 6 or more months, and now I'm enjoying it again due to trying the game on very difficult for the first time. I'm Germany and I decided to help out Japan against Nationalistic China (after reloading many saves due to failure) I'm totally having a Vietnam like vibe where my troops are getting their butts handed to them by the numerically superior Chinese; the battle is taking place in Korea. I also plan to do the usual Hitler stuff, and invade Poland, so I can't send everything to Asia. I figured I would steam-roll the Chinese in a few battles, but it has turned into a couple of years, full scale war. The game is quite the time sink: I had some free time today and I must've played it for 6.5 hours.