Most of this is probably old news to veteran players such as Diefledermas (and maybe obvious to most others anyway), but here are some strategies that I have found usefull as Allies:
Main strategy:
1) Keep UK alive until USA enters war
2) Prevent USSR from being crushed
To achieve this (before USA enters war):
3) Prevent Axis from taking Gibraltar (be prepared to send exp forces to Spain if the Germans DOW them). Axis Gibraltar means that the Italian Navy can get out into the Atlantic if they want, raiding your convoys. But most important is if the Axis control both Gibraltar and Suez, they don't have to waste divs guarding beaches in the Mediterranean (Italy, southern France, Yugoslavia, Greece).
4) Prevent Axis from taking Suez. Holding Alexandria is key, if you loose control of this region the Italians can get into east Africa.
5) Prevent Axis from conquering Turkey. Axis control of Turkey is IMHO very very bad for both Allies and USSR, meaning that the Red Army has to place precious divs in the Kaukasus, and potentially letting the Axis take Persia also if they want (and later India). If the Germans have free land access via Turkey, they can easily take the Suez from you.
6) Raid the European mainland once in a while (a la Dieppe). Attack at weak beachheads with support from tac bombers, try to encircle a few Axis divs, kill them, and get the hell out of there.
7) Don't spread UK forces too thin. Concentrate on the European theater. Yes, even if this means giving up India to the Japs. If the Japs spread there forces all over Asia, this gives the USA some easy pickings when they enter the war.
8) Use divs from the low-quality nations (France, Canada, South Africa, New Zeeland, Australia) to garrison important provinces that are far from the actual front (Scotland, Gibraltar etc) so you can use your main forces for other things.
9) Try to not loose UK divs before USA joins the war. This means stuff like not letting UK divs die to no use in the defence of France, letting them loose at bad odds vs the Japs in India etc.
Once the USA joins the war:
9) Let the USA player take out Japan early, with a decisive and heavy blow to the Jap mainland islands. Send the entire US Navy in one stack, land with 20+ divs at the same beach, fly in your tac bombers, and take it all. After this, the Jap industry is rather crippled, and it is easy to take the rest (give India back to UK player etc).
10) Send air units to help the Russians
11) Out-produce the Axis, and then invade Europe (a la D-Day).
All comments are welcome.