Sweden is a neutral country located in the northernmost part of the map bordering Finland. A Nordic country, it is separated from Continental Europe by a narrow stretch of the Baltic sea. Sweden is a neutral country and can pick to go either Allies or Axis. Sweden by far is one of the easier countries to play as it is rarely attacked until much later in the game, being far enough out of the way that major countries do not risk attacking it. It's geography and position gives a natural fortified location from attacks by land in addition to having Finland as a buffer nation. In most games, usually Sweden goes allies, due to the Soviets and the United Kingdom being within support distance and Germany being unlikely to have the time or troops to invade or send help to Sweden.
In the early game, Sweden should first take all the cities in Norway to give a boost to income. If Iceland hasn't been taken yet you can send one landing vehicle to take it. Sweden's long travel time by land and short travel time by air to continental Europe favours building a large air force in Sweden. This can be used to harass Axis infrastructure and armies as they move back and forth. Going for Tactical bombers and Rail Rockets for Attack Aircraft before getting jet engines makes this a fearsome strategy to Axis players. Sweden can then use its airforce to harass enemy tanks as they move across the Soviet Union. Another strategy is to land and bunker up Denmark. If Axis allows it the Allied troops can use Denmark as a staging ground to launch surprise attacks onto German infrastructure. Sweden might also want to build an army at its home base if Finland goes Axis, in which case Sweden can help Finland fight for its freedom, or help the Soviets crush them.