Some meta-advice: I'm relatively new to the game myself, and my play style is heavily skewed towards Comintern and Pan-Asian, so you'll want to filter anything I say through that information.
Daxiath wrote:
1: 1914 obviously has recruitment centers (passive infantry per day). This game doesn't seem to have that, and looking at infantry stats they don't seem particularly useful? I'd imagine you build them as meatshields (since they seem to be heavy on all things non metal/gas), but how many should you actually make? And are militia better?
There are indeed recruitment centres. I used to build them in every province with more than 100 soldier production per day (that last phrase feels horribly wrong to me). Nowadays I don't usually bother as I run out of resources long before I do soldiers.
Personally I prefer militia, as it's cheap as chips so I can mass-produce them, and it has stealth properties that are especially useful in mountains (Comintern) or forests (Pan-Asian). But then I play those two doctrines almost exclusively so my play style runs towards quantity of units rather than quality; for allied it's better to stick to infantry unless you start running out of resources. I don't know about Axis, but I suspect infantry is preferable there, too.
Daxiath wrote:
2: Right now I'm running with one of each production building. I'm getting a bit concerned that I'm building too many unit types and will find I can't keep up with the tech. For raw numbers it's day 4 and I have about 10 more inftantry than i started with, 5 armored cars, 5 light tanks, 5 AA guns, 5 AT guns, 10 artillery, 2 destroyers, 3 cruisers, and 5 interceptors. I imagine this isn't nearly as optimal as it should be, but hopefully someone can illustrate what a proper strategy in this is. (I seriously doubt this game aims for a 1914 strategy where it's all infantry and artillery with just a handful of cav/cars until lategame.
Honestly what you've got sounds pretty good to me, although this is without my knowing what you're using the units for, what doctrine you're playing as, and what level all of these units are.
My advice is to pick a few specific unit types to focus on (in my case that's usually militia, artillery, and anti-air for every game, plus light tanks and armoured cars for Pan-Asian and medium tanks and rocket artillery for Comintern), develop them all up to Level 3, and mass-produce those. Unless you need a certain unit for a highly specific scenario, it's best to have a relatively small selection that you can then develop to higher levels than if you have nearly everything.
Naval, on the other hand, is something of a rock-paper-scissors; if you're going to be a naval power you do need decent-level of pretty much everything.
There probably are optimal armies and stacks for each doctrine, and possibly each country on each map (there's bound to be some obsessive player of Tibet or Poland or somesuch who plays it on HWW all the time and has perfected strategies for it), but I have not attempted to work out what they are.
Daxiath wrote:
3: Is industry even worth building? I can see you only get 25% of the income from areas you don't start with when they're captured, so I imagine at the very least I shouldn't build any industry outside of my starting areas? But if the game goes on for months like in 1914 I fear I could be mistaken. The returns just don't seem to be very impactful compared to the inputs, and dumping resources here would slow down conquest.
Heck yeah, it's worth developing industries. Especially once you get to the Massive Empire stage on world maps, you can't sustain an army that can defend that lot off just your core provinces, even if you're Soviet Russia or Nationalist China in HWW and have all your existing industry developed to the max. At the very least you do want all your core cities at the highest level industry you can afford, and if you capture a new province and have any likelihood of holding it you should probably build industry there too if it has resources.
If you can't afford to upgrade everything, focus on provinces bearing resource you frequently run out of.
Daxiath wrote:
4: Given question #3 should you even be rushing to conquer your neighbors or should you be more opportunistic? In 1914 the whole point of being hyper aggressive is that more recruitment centerers = more infantry for free every turn and you get 100% of the territory's income. It almost feels like teching up (maybe focusing on forts/ industry) for a few days and then going on a rampage would be viable unlike in 1914.
I'm the wrong person to ask this, as I've recently been trying to rebuild historic empires and it's this rather than any practical concerns that decide who I go to war with. My general beginning-of-game advice, if that's going to be any help, is:
Failing to declare war on someone almost immediately tends to end in someone else invading you, so in early game my advice is to pick a powerful country to ally with and collaborate with them on an invasion of someone on your border (said collaboration doesn't need to go above 'getting right of way and sneaking into your enemy's territory through the back entrance', the main point is having one less prospective enemy to worry about), and use any spare cash on industry and research.
I don't usually bother with fortifications (unless a naval power is bombarding me, as in my current game as Manchukuo) or infrastructure (until I get to the Massive Empire stage and don't want armies heading from my core to the front line to spend two days in transit if I can cut that down without using the Forced March).
Daxiath wrote:
5: Should I be saving my gold for blueprints? I don't tend to use it in 1914 (I'll usually buy a building or two at the start of a map, but I only use gold from winning games.) as I consider it unfair. I'm a bit fuzzy on how you earn blueprints if you don't buy them and how crippling it may be if you don't have the final tech upgrade for each unit lategame.
Nah, don't bother; as Carking explained there's a way to get those for free if you're willing to be patient. And to be quite honest I don't think the high-level units are worth it. Level 3 usually does for me; if I go above that the cost-and-time-related detriments start outweighing the performance-related benefits. I expect that this, like many other things, depends whether you care more about how effective your units are or how quickly you can get a bunch of them.
Hopefully some of this advice was helpful and actually answering the questions. 
Her Ladyship Aragosta
A.K.A. "The Backstab Person"
Pan-Asian is a better doctrine than Axis when played correctly and you cannot change my mind.
You just lost The Game.
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