I think there are a few options with the Italians - though John is the real expert on them, not me.
Lately I have seen the Italians push for the Greek morale bonus (taking out Greece by themselves). That usually means taking Crete first or else it is almost impossible.
As the Allied player, I have lost Egypt to the Axis a couple times - which can be a real game changer. Determined German mech effort and Luftwaffe commitment can really blast the British - especially with Rommel's 2 re-rolls. The British can not keep up with German air in 1940. Three German fighters on Crete with another in Rhodes backed up by bombers in Athens can make it very tough on the British navy in the Eastern Med. Take Cyprus to get another airbase as well. Shifting from France to Africa quickly with airpower and a few tanks can really throw the British off as the Germans can redeploy more rapidly to the Med and catch the British off-guard.