the 1.06 patch is great, makes the game way more challenging. I would recommend getting the C.O.R.E. mod, I just started playing it and it is really good. They also recently announced Hearts of Iron 2-- to be released in 2005(maybe).
I used to play it. I don't know if it was the game or me but strange things happened occasionally eg. I conquered england, and a year later english troops appear in england for no reason. I patched it and then my game I was working on wouldn't work. I had got pretty far. Immediately after Poland I surged into Russia and caught the Soviets unprepared. I would have conquered Russia too (I had everything west of the Urals by mid 1941) but Sweden joined Finland and occupied Lenningrad so soviets wouldn't surrender. It was looking like I would have to spend the next 2 years moving troops across Russia to capture Key provinces. Last time I had my computer fixed the game got wiped and I havn't started again.