Hearts of Iron 3 seems a little harder to me but i havn't played it that much....but all Canadian forces in france at the start of the war were slaughtered like nothing even though i was technologically ahead
then the survivors retreating back to england were, of course, attacked by subs and my entire fleet and army was lost! That right there was my most maddening thing in all HoI's, the fact entire fleets could be lost like nothing!
Though invasions are easier
I invaded Sicily with Paratroops and southern Italy with normal forces and by the end of the week my beachhead was near permanent, had like 10 divisions in Italy by the time the british came, and from their we pile drived threw rome and right into southern europe before the germans stopped us