Playing Italy[edit]
Italy is the weakest of the Major powers in Hearts of Iron III, with a Base Industrial Capacity (IC) of about 60. Do not let this put you off playing them, as they're great fun to play and see a lot of action throughout the game. They also start the game at war with Ethiopia, even in 1936. This lets players learn the combat part of this game from any of the set starting points. Picking Italy would appear at first glance to be at odds with the starting page advice on this very wiki, but to start with, it does not fall into the list of countries not to play, furthermore the point is made that playing Germany isn't a bad idea because they pick fights with weaker countries... as Italy you start off at war with Ethiopia and can easily end up fighting Yugoslavia, Bulgaria, Hungary, Greece and Turkey. All of these are significantly weaker nations (none of them start with half of the Base IC of Italy), giving you a fun and varied game each time you try this nation.
Things to sort out at the start[edit]
Italy has a number of things that need to be corrected, particularly if you start in 1936, which you would be advised to, in order to allow the most time to get these things done.
First of all, the organisation of Commanders in the Italian Army needs almost re-setting and building from scratch. This may mean spending time moving them to where they're needed (or not needed, as may be the case). A very good example of this is the Commanders with the Old Guard trait. You do not want to be using these in your ongoing campaigns when war does break out, as you'll simply not get as much experience. You may want to save these Commanders for areas of national defense; where they may be needed and their other traits may be useful, but they will not likely be continually fighting at all. Obviously, you'll know where you are going to attack, so have appropriate Commanders assigned to these units to aid with this.