Germany Early Annexations

Easy Pre-War Annexations

Several nations around Germany can be annexed without provoking a DOW from the major powers in the 1936 Scenario unless you are playing on the highest difficulty/aggression settings.

Luxembourg is by far the easiest nation to annex early. It is a single national province (no dissent) with relatively high IC (5) and virtually no defenses at all. However, annexing Luxembourg does open up another province on the French front that must be fortified while Poland is conquered. This may or may not be worth it to you. Further, the French gain a free +2 interventionism for this because they guarantee Luxembourg.
Denmark is also easy to annex. Unlike Luxembourg there is no additional front line to defend. It is worth relatively the same IC as Luxembourg but spread over more provinces. Also Denmark is more heavily defended and negotiating straits is more painful than invading by land.
Switzerland can also be annexed early on for more IC but it opens up three provinces on the French front that must be defended. Dissent is more of a problem in Switzerland as well and if you dont garrison it for too long it could revolt.

Debate on Paradox Forms

There is a Debate on the Paradox Forums about whether or not the IC you gain from these annexations pays for the cost of acquiring them.

Anti-Annexation Arguments

The dissent gained by DOWing these nations so early is 5.6% assuming the player doesnt move a slider that affects DOW dissent. The cost of reducing that dissent to 0% is 32 days of committed production according to Blue Emu. This diversion of IC is measured in Blue Emu by the unit IC-Days where 1 IC Day = the application of 1 IC to a project for 1 day. Blue Emu concludes that the diversion of IC for this purpose is greater than the potential long-term benefits of such an annexation. If you are building factories, the delay from reducing dissent is also lost production from incomplete factories.
France guarantees the independence of Luxembourg and Switzerland. The UK guarantees the independence of Denmark and Switzerland. Declaring war on these nations therefore shifts the Interventionism slider for these nations, granting them extra capabilities for the next three years in the lead-up to the war. It reduces their Consumer Goods demand and in effect gives them more disposable ICs with which to prepare for the coming war. It also reduces their Belligerence DoW threshold (by 41%, from 49 points to 29), reduces their DoW Dissent cost (by the same margin, from 5.6% to 3.3%) and reduces the costs of their Diplomatic activities.
The extra belligerence from the DoW and annexation will compromise trade agreements (as will the resulting Relations hit on annexation).
A risk exists that the extra belligerence, combined with the 2-point French slider shift to Interventionism and the free French casus belli will result in an early French DoW against Germany, preventing them from gaining all of their scripted cores. This would cost Germany far more ICs in lost cores than they gained by taking Luxembourg. After annexing Luxembourg, the German belligerence will already be 16 points. The Anschluss of Austria may well push them over the DoW line.
Both Luxembourg and Denmark can be annexed almost for free later in the game anyway.
Without national provinces, the IC return from Denmark and Switzerland is lowered.
The Luxembourg and Switzerland provinces must be garrisoned against France. The cost of producing units to protect these points must be taken into account as well.

Pro-Annexation Arguments

The use of IC-days is potentially misleading. ICs cannot be purely measured in terms of use over time, but must also be considered in terms of elasticity or flexibility to take into account the savings of gearing bonuses. Assume for example you have 20 IC in excess of minimum consumer demands. You may be able to allocate that either to interceptor construction (roughly 11 IC) or to tactical bomber construction (roughly 12 IC), but not both. If you acquire an additional 5 IC, however, you can create two long production strings of both units and exploit your gearing bonus. Even if you have to divert your 20 IC to dissent reduction for 30 days (600 IC-Days), you will have made a gain as soon as the 5 IC over time plus the gearing bonus factors exceed 600 IC-Days. In the 1936 scenario, the gearing bonus gains are huge.
The benefits to France or the UK from the violation of their Guarantees of Independence may seem to be great when considered from the player's perspective. However, if the French or the UK AI cannot stop your invasion even with +2 interventionism, this may be of minimal consequence to you. For example, if France is able to build two extra infantry divisions due to the interventionism shift, but those two divisions dont make an impact on the battlefield because you bring overwhelming force to bear, does it matter that they gained two extra divisions in real terms?
Even if the extra belligerence and relations hit from the DOW translate into a difference of several thousand resources accumulated over time through trade, that will not have a long term effect on a player who stockpiles 100,000+ of each resource.
The IC cost of an early allied DOW must be counterbalanced by the gains of an early French/Low Countries annexation. Furthermore, this is not a problem on the lower difficulty levels.
The free annexations that come later are not really free. They come at the cost of lost IC over the non-conquered period.
Even without national provinces, the IC from Switzerland and Denmark is still substantial.
The garrisons devoted to Luxembourg or the Netherlands must be evaluated in light of their necessity. It is possible for a good player to invade Poland and the Low Countries simultaneously in September 1939 and still put another 6-12 divisions of infantry on the front because they were going to build those divisions anyway. If those divisions were going to be built anyway and they are just sitting in Luxembourg or Switzerland waiting to be used against France, there is no loss of capability.
In the case of Switzerland, the extension of the French front south causes the French AI to shift its forces south as well, thus making it even easier for the German player to march to Paris as fewer French units stand in the way.

Difficult Pre-War Annexations

These will significantly take you outside of the realm of history.

Hungary and Czechoslovakia

It is possible to annex Hungary without provoking Allied power’s wrath. Just after the Anschluss of Austria, declare war on Hungary. Conquering it should be very easy. However, this will make Italy declare war on you. After annexing Hungary, turn your army south and overrun Italy. It is not necessary to completely annex Italy. In fact, Italy will surrender Venice and other provinces when it sees itself completely losing the battle. If you have taken far too many provinces from Italy, however, the Allies may declare war on you due to your high belligerence. A way to avoid this is to slow down on the troops advance after you have reached the middle of Italian peninsula and accept the first peace offer from Italy.

Poland

The negative effect of the Molotov-Ribbentrop Pact is that it gives the USSR eastern Poland as well as the Baltic states for free. Aside from making it harder to attack the USSR later, it also denies some resources to Germany. However, simply refusing to sign the pact will net you quite a bit of dissent, which is not something that Germany should be dealing with at that time. To avoid the Molotov-Ribbentrop Pact completely, annex Poland before 23 August 1939. This can be accomplished by declaring war on Poland earlier than was done historically. For example, you may want to declare in 1 August 1939 and you will have 22 days to annex Poland to avoid the pact. The problem with this is that the Soviet Union will be very hostile to you. Depending on the aggressiveness level that the game is set at, you may only have from months to weeks before the USSR declares war on Germany.

Another way to keep Poland out of Soviet hands is to liberate Poland immediately after annexing it. Poland will be an enclave while Germany keeps the eastern Polish provinces.

USA

Attacking the USA in the early game is one of the easiest things any nation can do, and is widely considered a gamey exploit. Every major and medium sized nation can accomplish an annexation of the USA in the early game.

In the 1936 scenario the United States start with a small amount of outdated Divisions spread all over the country. So, lets get started. Germany starts with 3 tank units. Start to influence Portugal in order to use the Cap Verde Islands (does not work with the Azores, too far away) after they join the Axis. Build 6 transports (or less) and at least 10x2 German cavalry units (Cavalry IV, Speed 7). Do not build tanks, but you should build some Engineers and maybe some Armored Cars to pimp your tanks and cavalry. Remove all short and medium ranged ships from the Kriegsmarine (everything below 2500km).

Start to influence Poland, UK and France (this will give you additional time to deal with the European theater later on) and trade your supplies for Rare Materials, Oil and, very important, Money. Voila, less money for the other big nations to influence the smaller countries. Try to get an alliance with Poland (eastern border is now safe till 1940, SU might attack, try to influence them) and always try to have a positive relationship with the others.

If the cavalry is ready move them together with the tanks, 3x3 Infantry and additional forces (leave some at the French border and a few at the SE border, just to be sure) to the Cap Verde Islands west of Africa. Declare war on Venezuela. Invade with 3 Infantry, Venezuela is using a single outdated Infantry unit. Move in the tanks or 2 cavalry units to speed up things. Recreate Venezuela after the annexation to get rid of the Belligerence. Move all waiting units from the Cap Verdes to Maracaibo).

Sent all ships/subs from Germany to Maracaibo. Create a fleet with all medium and long range naval units you own (all ships above 2000km range. Declare war on the United States. Invade Miami with 3 Infantry units. Voila, first step. Start shipping all other units to Miami (leave 3 infantry units behind). Go immediately north and west occupying ALL coast provinces (use Blitzkrieg/extra supply). 6 units cavalry north, 6 west, cut the US in two pieces going straight north with the 3 tanks. Follow with the slow infantry. Secure Houston with 2 infantry units. Use the rest of your cavalry to go wild in the Center of the US. Conquer everything, focus on the key provinces. There is almost no resistance, deal with Rebells by using Infantry or the extra Cavalry.

Meanwhile invade Panama with the 3 units left behind in Maracaibo (Note: the fleet will take the long way around South America). The trap is closed, now only a few ports are left on the US west coast. Gather 6 units in Phoenix (the whole East is hopefully yours already), 4 in Salt Lake City and the tanks on the northern boarder. No GO WEST and crush everything in your way.

US will make several times peace offers, always decline, we do not negotiate with weak enemies. After conquering the whole land between East and West coast you can do whatever you want. Release the three new countries California, Texas and Confederate States. Or keep everything. Annex the US with Sue for peace (forget Alaska or the small Pacific Islands, no need to advance so far). NOTE: Another invasion path could be annexing Dominican Republic. This way you can use a navy base which is closer to the US mailand for gathering the troops for the invasion. This allows to land norther in the States than from Maraicabo navy base.