Agree with Yoshitako,
Look to spend a weekend with Global '39. And get lots of sleep in advance.
As for the rules, pieces etc., it’s no sweat once you get familiar. I took a hi-lighter to the rules and made notes/references to make looking things up in game easier. Make sure you have the necessary pieces though. HBG has pretty much everything you need if you are short. I have spent a lot of time putting the game together in terms of aquiring/painting those veteran pieces you mentioned. In fact, Global '39 is a hobby for myself and the other players. We are constantly introducing new pieces or customized pieces. The markers and rules from HBG are really cool as well. This weekend we’ll be trying out the rail markers and rules.
Oh, and get, or make, a 12d battleboard–if you are going to play witht he 12d rules (some folks on here are trying out the 6d, our group has not). We also made a custom IPC chart large enough to hold all the roundels for the different nations (no more trying to squeeze three or four roundels on a number).
Make sure you make time in advace for set-up. The group I play with is having a game this weekend (starting tonight) and the map is already set up. I cannot stress enough how much this helps in terms of time. Of course, you may have people who want to set up their country(ies) themselves or just before the game. We came to the conclusion that the host can do it for everyone if they wish to. When I host, one of my buddies comes by a day or two before just for setting up.
If you are playing as the Axis, get your head around the first turn German two impulse attack and the (before turn eight) Japanese sneak attack. Having a plan for Germany’s first turn makes things go faster.
Playing as the Allies can seem a bit overwhelming at first but I’ve done it and it’s a blast. After the first go it got easier and you find out fast that there are A LOT of strategic and tactical options as the Allies (and a lot more room to make mistakes and corrections without losing the game).
Overall, this is my favourite A and A variant to date. It’s well worth the investment of time and money if A and A is your thing. My advice is to dive right in and enjoy yourself(ves).