As my strategy guides suggest, I’m a pretty big fan of the Egypt factory. I’ll usually build it on turn 1 if I build it at all – it takes time for infantry/artillery built in Egypt to make it somewhere interesting, like India or the Caucasus, and if you’re not building infantry in your factory, it’s usually more efficient to just fly in planes and to not build the factory at all.
I’ll put a British factory in Norway around turn 4 or turn 5 if I really need the extra production capacity – as in, I’ve got four well-protected transports in the North Sea, I’m filling them every turn, and I still have extra cash left over. I don’t like to put an American factory in Norway on this map – it looks attractive because the Atlantic ocean is so big, but what are you going to do with 2 units a turn? You still need transports so you can ship the units into France or Karelia or whatever; it’s too slow to build units in Norway and then walk them into Russia.
Finally, if the Americans are attacking Japan, I’ll usually have them build at least one factory in the first “money island” they pick up – preferably Borneo, but failing that the Philippines or East Indies can work too. If Japan built a factory in Kwangtung, Kiangsu, or French Indochina, I’ll try to capture it as the Americans. Otherwise, I’ll build my own, even if there’s already a factory in Manchuria!
As Japan, I like to put a factory in Kwangtung on turn 2. If Britain failed to sink my starting transport, I’ll put the factory in the West Indies on turn 1 instead, to set up a turn 3 attack on India.
As Germany, I don’t build factories – I just capture them from the Russians! Verrry occasionally it’s worth putting a German factory in Egypt, if you are guaranteed to hold it (e.g. all the north African troops are dead) but the British sank your Mediterranean fleet and killed off your units so you don’t have enough units to seize all the African territories (e.g. 1 tank or no land units vs. the 1 british inf in s. africa).