EDIT: This was a single player game.
I tend to pick the crappiest nations for play in any game- it was Yugoslavia in Hearts of Iron, Sudan in Superpower 2, and in this game I vowed to try my hand at leading Azerbaijan to dominance of the lower Caucasus region of the Russian scenario.
First, I started out with a surprisingly robust economy and a decent military (relative to Armenia and Georgia...) largely because Azerbaijan is unique among Caucasus nations in posessing a large amount of offshore oil platforms. Also, Azerbaijan has a pretty solid industrial base and enough electrical power to see it through. So, on the economic front, to my immense surprise, things were going rather well.
Diplomatically, every scenario in this game is a minefield. The Russian scenario is no different. I could care less about Armenia or Georgia invading me, but the awesome power of the North Caucasus state towered over puny Azerbaijan to the north. If I attacked anyone, they'd be sure to intervene and kick my ass in fairly short order. So, naturally, I pursued an alliance with them, greasing the plams of their diplomats with a little Caspian Sea Crude courtesy of my oil platforms. So, after a few weeks of bargaining, I was safe and secure on the diplomatic front too.
I had my eyes on the coal deposits of Armenia and the additional industrial capacity of Georgia, so to that end I mobilized and took over Armenia in a week or so. Georgia declared war on me and I subdued them within a month. So, with my border to the north secured indefinitely and my military and economy at home steadily increasing, I was sitting pretty.
But I didn't sit still for long.
I upgraded my sole naval pier to a base capable of producing ships and poured all of my money into a new research facility and naval research. I was planning a cross- sea invasion of Turkmenistan.
To make a long, involved story short, I got Kazkhstan on my side and invaded Turkmenistan. In a rare show of opportunistic warmongering (sarcasm) the AI Kazkhstan declared war and took a large chunk of north Turkmenistan. But, most importantly, I got the coastline and the major cities.
The naval invasion was actually the most demanding thing I've ever done in this game- not only did I have to plan and build up my economy years in advance, but I also had to research/buy the technology and the units nessecary to mount the invasion, which was a much harder process than it may seem. I had to basically build an airforce from scratch, too, which was a pain. But it eventually paid off when I couquered Turkmenistan in two weeks, with the help of Kazkhstan.
Standing astride the Caspian Sea like a colossus, I finished the game at the high point of my formerly-insignificant nation's power. I'm going to play Azerbaijan again on the world map and see if things turn out differently with Iran and Turkey to the south.
And after that I'm re-playing my home state of Idaho and seeing if I can finally pull off an invasion of Wyoming successfully.