Air units are a waste of time? Yes, a nice artillery is twice as good as a bomber, but air units are, in my mind, a necessary part of every naval invasion force. Anyway, air units have a much better range than artillery, so they are effective for softening up enemy forces before you get in. Plus, when I start running low on units, and I have to put my invasion on hold to rebuild, constant bombing runs on large enemy cities are quite effective.
Just because the AI doesn't build it doesn't mean its bad, in fact its the opposite. The AI never uses artillery offensively, which is probably one of the most important things you can do in Industrial/Modern age.
Bombers---good for injuring units/destroying improvements, and all around demoralizing the enemy (Hey Germany almost got England to surrender without landing a single troop).
Fighters---not that great, I only build a few and use them for scouting, which can be quiet helpful sometimes. Only need like 3.
Helicopters---I guess they're good if you want to drop infantry behind enemy lines, but I'm not really a fan of that.
Cruise Missiles---Pathetic. Don't build them.
SAMs---Of course you should build them. Especially in MP, because humans like myself are a fan of air warfare. Another reason for building SAMs:
SDI---absolutely neccessary. If you play long enough in the Modern Age, a nuclear war WILL happen. And, when it does, when German ICBMs are raining on your city, you will be praying for this.