On the logistcs/budget aspect :
War Room: One game to buy. Everything you need is in the box unless you want the Jumbo pack expansion. You need a large round table for the map and another medium to large table for cards, pieces, battle boards and to roll dice. One game can be played in a single day once you have a good grasp of the rules.
G40: You have to buy both AA Pacific and AA Europe games to combine them. You can play with what’s in the box, but there are a lot of nice third-party (i.e. HBG) upgrades to customize your game, make everything look better and replace the out-of-box cardboard pieces (plastic factories, ports and airbases, damage markers, etc.). You need a large rectangle table to play. Can be played in a long day with experienced players who know when to give up.
GM36: No two boards are alike. You buy the map from HBG and then customize everything, from units to facilites, according to your own taste. It helps if you have a lot of other AA games to scavenge for pieces, chips and markers, but buying everthing will get expensive. Obsessive-compulsive types beware! Not all models and colors of units are available so painting pieces seems inevitable. Depending on the size of the map you buy (there are three, going up to 5x10) you will need a large room and and a very large table. The setup alone takes at least an hour and needs to stay in place for a long time since you can’t finish a game in a single day, so this is not a game for the kitchen table… But once you graduate from G40 to this, you will not go back.