I always go for North America, there are only three ways to get in, and if you can sting popular South America, Europe, and give those fools fighting in Asia trouble. And once you gain SA, there are still only 3 access points.
Oh, and I play risk on the computer. Against AI the games take about 7 minutes, and I always win. But against other people, it goes about 60 minutes, and I lose after 45 sometimes. I do win sometimes though.