My HOI2 isn't working right now (sadly), but I have a couple ideas and some things I have tried previously. Anyone else try them?
-Bad Ally- (haven't tried this for a VERY long time)
Start up in '36 as a minor ally of a big power. For the purposes of the game, Tannu Tuva and Mongolia work great for the USSR, while Bhutan, New Zealand, and Nepal are superb for Britain. Using the "Freedom" and "Money" cheats are perfectly fine for your purposes, but don't use any other cheats.
Now, you have the mission of getting your large ally into unrealistic wars. You can do it in such a way as to destroy them (E.G as Tannu, getting the USSR into simultaneous wars with Poland, Germany, Finland, Turkey, Japan, Britain, and the USA), or slowly and steadily to see how big you can indirectly build them before the rest of the world comes after them (E.G as Bhutan, steadily leading your "puppet" UK to annexing Mexico, various parts of South America, Benelux, Persia, Afghanistan, Italy, and then seeing if your superpowered ally can defeat an enemy more easily, such as a surprise attack on the USA or attacking Germany early).
But there is one twist. You have to make sure your puppet-master nation is not conquered. In other words, if you play as Mongolia, you probably don't want the Soviets to be losing a war against Japan. Also, no taking control of your allies units.
RESULTS:
I think I managed to manipulate the Allies to conquer the USA once as Bhutan, though the details are sketchy (I think I needed to start some big wars throughout South America and Mexico to get it to work). Also, I once managed to "liberate" myself as Manchukuo by forcing Japan into a war it couldn't win with the USA.
-Minor Alliance-
This one takes a lot of time to organize. Also, unlike the previous trick, this one requires cheats (specifically, freedom, money, acceptall, and lots of switching nations) However, it is extremely rewarding and fun.
Pick a minor nation. From what I have managed so far, it should be beside either the Soviet Union or Germany, as they are the two best targets (there aren't enough powerful minors within striking distance of the Allies, sadly enough, though I think it might be possible for a South American Union to beat the USA). Now, abusing cheats, do what you need to ally all the minors you can. Try to stick to the GENERAL geographic area of your target, though you can stray a little ways away (Republican Spain did... interesting things in my anti-USSR game).
Now comes the fun part. Take control of your initial minor nation and attack your target. Before you ask, you can't build up entirely on your own and then abuse your allies by taking control of their forces (Say, taking Finland, building it up massively for war with the USSR, allying all the minors around the USSR not counting important ones like Nat.China, then invading with your strong force and using your allies as puppets to conquer the Soviets easily). Control your minor to the best of your ability and see if you can conquer the target. If you succeed, wait a year before taking on the rest of the world. Ideally, you will go after the major you missed the first time around (either the Nazis or the Soviets), then take on either the Allies or the rest of the minors. Fun!
RESULTS:
I tried this once against the Soviets, to mixed effect. Turkey managed a very powerful push through the Caucasus with Persian support, and Poland put up a valiant fight into Belarus. Republican Spain (for reasons beyond my understanding) repeatedly attempted to recreate the Crimean war, claiming the Crimea and losing it again repeatedly. Finland took over Karelia and began pushing south.
Then things went downhill, as it seemed I missed some minors. Persia was crushed. Turkey fought very well, but was defeated as well. With the southern front gone, the Soviets rampaged through Eastern Europe, cleaning up Poland, the Czechs, Austria, Hungary, Romania, etc etc. Finland fought better than most, but was conquered midway between the Poles and the Czechs. The Nordic nations fought on, but weren't able to hold back the Red Tide.
In short, it ended with the Soviets being the clear masters of Europe and all their enemies crushed before them (besides the Spaniards, who continued to launch little raids into the Crimea). I wonder if Germany could beat em
I haven't tried anything with Germany yet, but I heavily suspect that the Germans could be swamped far easier than the Russians could. Then, after a year or two of building up, the strengthened Minor Alliance would have a far better chance of beating the Soviets.
-Anarchy-
This is very simple, but requires some (temporary) cheating with slider changes (otherwise, it doesn't work quite right). It also works best with the New Nations Mod.
First, you need to put the sliders for all the nations you are going after (which is to say, all the majors including Britain, France, the USA, Italy, and Japan) to closed society. You will see why soon. It doesn't have to be maximum closed, but it has to be very near to that. Also, change it back to Democratic when you are done for the Democratic powers.
Now just change ministers repeatedly. Each time you do this, dissent will rise a little. Do this for each individual power until they are at 100% dissent. Repeat until all the majors are at 100% dissent. Sit back and watch for a while in the position of a safe minor (I, personally, vacationed in Haiti). A couple countries need to be re-revolted for maximum effect a year or so later (generally Britain and France, though it is advisable to knock Germany with another dissent hit later). Also, I would advise you delete those Italian troops in Somalia. Finally, once the dust is somewhat settled, pick a nation and try to conquer the world (don't be cheap, though. If Ukraine forms and conquers most of the former USSR, don't take them as things will be far to easy with no sizable opponents).
OBSERVATIONS:
Assuming you followed my instructions of rising the closed society slider, the colonies of Britain and France will go nuts. The British, for some unknown reason, will ALWAYS defend their possessions in India before they rescue the rest of their lands. The Germans and Italians are usually pretty solid, though Italy will occasionally lose parts of northern Italy and Libya. If you didn't raise closed society, Britain and France will simply experience easy-to-defeat rebellions in their homelands, which will be an annoyance at best. Also, somewhat ironically, the two Superpowers of the world, the US and USSR, will generally blow up in grand fashion, splintering into about a million minors (the exception being if the US goes Communist during the revolution, in which case their dissent lowers just enough for them to possibly regain control, though if this happens you will want to raise dissent just enough for the Americans to be heavily weakened).