Russia can be tough - but I think is one of the most fun theaters to play.
Out of the gates the Russians need to build 2 factories followed by two more factories. Other builds up to war with Germany I would suggest would be infantry, fortifications, AT guns and when you can afford it: aa guns, fighters and artillery. I really think Artillery is a good buy for the Russians - a '3' both on the offense and the defense - and you need some offensive power for counter attacks when you need to.
Unless the Germans are doing something wacky (see posts from John), as Russia, you are pretty much hanging on for dear life until 1942 - maybe even 1943 if your Western Allies are not going on the offensive somewhere. So don't squander your resources. Pray Turkey does not join the Axis, or a bad situation gets worse.
I don't think you can really go too much on the offensive until the Western Allies relieve some of the pressure somewhere - take advantage of any German mistakes until then. Others probably have additional thoughts. . .