The paradox referred to in my rather grandiose-sounding title is this: The ability to conduct offense in A&A is often based on the defensive power of your units; conversely, the ability to defend yourself is often based on the offensive power of your units.
The reason behind this is the way that stack warfare tends to proceed. Typically on a given front there will be two stacks staring each other down (e.g. in Eeu and Wru), until one stack becomes strong enough to advance deeper into enemy territory. If you’re waging an offensive campaign, your objective is to advance your armies into enemy territory. Whether you can safely do so is based on whether your army is likely to survive an attack from the enemy, i.e. on your defensive power.
Conversely, in a defensive war you want to keep the opponent at bay, to prevent him from advancing farther into your territory. Your ability to do this is based on the attack power of your units. This is a result of a front being several territories wide; if there were a single string of territories leading from your base to his, you could just create a mountain of infantry on one of the territories, but the fronts are always wide enough for the attacker to maneuver around a single monolithic stack. So you need attack power to keep him at bay.
Ironically, this means that the fact that defense is cheaper than offense can actually become an advantage for the attacker much of the time! (Though it is often offset by the lengthening of supply lines that accompanies any push deeper into enemy territory.) If you can identify a border territory that the enemy just can’t afford for you to stack, you can start pushing piles of infantry toward it and watch them sweat as they have to spend more than you to be able to kill those infantry.
This simple yet deep phenomenon–that defense requires offensive power, and offense requires defensive power–is partially responsible, I think, for some poor purchasing strategies that are common among less experienced players. A lot of Russians make the mistake of buying pure infantry, or nearly so. They reason that Russia is a defensive country and hence needs to buy as much defense as it can. The flaw in their reasoning becomes apparent when a large German stack makes camp in Wru, the Russians have nothing to attack with besides infantry, and they’re forced to abandon Caucasus in order to save Moscow for a couple rounds longer.
Conversely, many Axis players make the mistake of buying too many tanks. With Japan one can get away with this better, because your paycheck is so flippin’ huge, but with Germany this can be deadly as it leaves your unit count too low and your armies are unable to hold the line against Russian counterattacks (let alone UK and US attacks). Of course, tanks do have other advantages too–the long supply lines become less of a problem–but without infantry to accompany them it is difficult to make much headway against a good player. Even when playing a very aggressive Germany I will usually do two turns of nearly pure infantry builds before switching to tank production.