I try to get my hands on north america, if I can. It's very easy to defend - I think there are only three ways in there, and with those extra armies you get each round, you can set up a perfect perimeter defense. And once you haven north-america, you can always push into south-america easily, and still only have to defend in three places.
Getting north-america first has always been the way I win a game of risk. I even try to get it if it's not on my mission card.
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