Almost every option is tempting:
Grand Campaign gives a lot of possibilities, as Germans I might try to conquer Europe earlier than it historically happen, and as Allies I might try to hold the steamroller.
Personally I also like to play Fall Gelb as Allies, trying to hold the Germans on the Maginot Line, then at the outskirts of Paris and finally on the unsinkable carrier.
Barbarossa is really, really good one to be played as Germans or Soviets, eastern front is one huge battlefield. German tanks rolling over Soviet infantry is unforgettable, but also stopping Panzers before they will reach Moscow in winter 1941 gives you a lot of satisfaction.
Gotterdammerung is really really hard to be played as Germans, pushed from east and south, already blooded out, just before opening of the third front. It is a real achievement if you will be able to hold Berlin for a year or two.
As you might realized from the title of this thread, there is one more starting year for the campaigns - 1942. I have decided to play as Soviet Union in Clash of Steel.

Here is the story of my game.