My favorite is Japan because I find it the easiest, though I must say, UK and Russia are very fun as well.
The war is either won or lost if Germany takes Africa and then Russia. As Russia, you get a lot of action, and as long as you can split german offensive forces, the americans and british will be sending wave after wave of men into western Europe by turn two.
Now Japan is fun, because short term, it is pretty untouchable. I don’t want to sound ignorant, but the truth is if you let the US fleet alone, and you concentrate on east europe, taking india in the first turn, the US can only have a pissing contest.
If they build a fleet to start Island hopping, use your fleet to cripple them, and it would take more than one turn just to reinforce their fleet. By the time they can even THINK of harming japan, japan will have so many IPCs, japan will be able to outbuild america.
America could not match the jap fleet in time. Remember, the alliance is won or lost depending on if russia falls. after that, it is a free for all, usually japan turning on Germany.
Japan can buy cheap subs to hold off any American attack in the first 4 turns, and with their aircraft and men, they can take East Asia.
Japan is pretty intact. It has the advantage of being an island nation, with immense land power.