In Egypt it is the absolute #2 priority to defend it. I've seen players facing strong Rommel and Sea Lion at the same time, choosing to sacrifice the islands instead of Egypt. It is true that Axis can choose to commit as much needed to win in Africa. But should he overcommit he will face serious problems in the #1 priority which of course is, the East. Should Egypt be lost you must absolutely stop Axis before Iraq, if he manages to blitz through there its almost game over.
Most games I've seen Axis stopped in Egypt it is because of a dedicated strat bombing from the Allies. Malta or no Malta, UK can be in a position to reduce most of the supply centers to below 2. This is where naval supremancy come into play, as if Reggia Marine dominates Med, this is very difficult to accomplice with only the UK Strat bomber.
As for the USSR, I've seen players use several tactics, but the most successful imo is: leave corps in forward cities and key towns so to reduce the time Axis spreads in ussr, never commit to a big battle before 1942. Never commit armor before 1943. Faint offensives but never commit. A/A, Inf weapons and warfare, Tank weapons & warfare and C&C are priorities. You can leave all air tech for later. Buy all HQs before the Siberian reinforcements arrive so you will be 2 above your HQ cap. Militia units are generally free xp for the enemy. They are best utilitated in northern Finland, to guard rear railway towns from paradrops. Of course if the opponent is very competent you can find yourself forced to buy them.