make a drive for major cities (mostly those with resources) using massive amounts of artillery/bombers and fast units, then pick of outlying towns at will. Despite the blitz strategy, I prefer to solve wars (ie, kill the enemy) in one go.
I've also toyed with a few finer strategies: I sometimes try to cut a country in half, I use bombers, ships, and raiders to cut off all road transport into an area before launching an amphibious invasion there, and once or twice I've surrounded pockets of enemies, or launched diversionary invasions.
Whatever the plan, I usually have one axis of attack to focus my resources.