Hey PvF.
Yeah, the world of Alt Hist. is kind of a flammable one.
Here's one "Nazis win WWII" scenario that I had come up with for a campaign project a while ago (I might actually try to finish it now...)
Events go as usual up until the end of the Battle of France (exceptions: Stukas are a smaller force, Do-19s have been built as a strategic bomber force, although that force is also somewhat small). This is where everything changes. Instead of letting the soldiers at Dunkirk escape, Hitler, in a moment of heartlessness, informs the Heer to annihilate the trapped forces. This is done in view of the approaching boats trying to save the soldiers. The same boats are also attacked, and massive casualties are taken.
Meanwhile in Germany (earlyish 1940), Hitler is shown a demonstration of a prototype for the He-280 jet aircraft. Hitler is won over by the pitch that it can function as a strike fighter, and he orders it into limited production following a few further tests.
The Battle of Britain takes place, and initially goes the same way it had before, only this time the Luftwaffe field commanders convince Goering and Hitler to keep assaulting the RAF bases and radar stations for a little longer. The RAF, no longer freed up by the choice to switch the attacks to terror bombing London, begins to take heavy losses as overworked crews can not keep up with the weight of German attack. And then, to the shock and horror of the RAF high command, He-280 jets enter the scene (late 1940, early 41). These aircraft are easily able to outmatch the Spitfire Mk.I and Mk.IIs that face them, and begin making high speed hit-and-run attacks on the home islands. One such attack is an assassination of Winston Churchill. Despite the best efforts of the RAF and flak, Churchill is killed as he is moving between bunkers, although the Luftwaffe lost most of the jets sent on the mission. Britain is demoralized, and with rumors of invasion on the streets, "Keep Calm and Carry On" is beginning to be discarded.
Eventually, Operation Sealion is undertaken, with the RAF, Home army, and Home fleet a battered shell of their former glory after over a year of bombardment by the Luftwaffe. The fighting is difficult, but eventually the Heer takes London (Sept/Oct 1941). A puppet government is put in place, and the Germans switch to a friendlier approach to dealing with the captured populace, choosing to assassinate enemies of the Reich and Jews "in the shadows," as it were.
The Attack on Pearl Harbor takes place, and Hitler, once again (he's doing this alot here), listens to saner minds on the subject and doesn't declare war on the USA. Now he has a choice: What to do with the Soviet Union? The Soviets, with the wool still somewhat pulled over their eyes, are not ready for war at all, and with a recent wave of Stalin's infamous purges, the Red Army is weaker than ever. He instead focuses more attention on British outposts that are now isolated after the fall of Great Britain. Slowly but surely they all fall, with Malta falling last in late 1943/early 1944. Rommel, with a properly equipped Afrika Korps, steamrolls Monty's Desert Rats all the way to the Suez Canal, and a final stand is made. Losses are heavy on all sides, with the casualties including Montgomery himself. The shattered remains of the "Desert Rats" surrender. Rommel goes on to conquer as far as Iran. In view of approaching German conquests, Turkey throws in her lot with the Axis.
Russia is once again in Hitler's sights (mid 1943-early 1944). The USSR has progressed at a glacial pace, whereas Germany, finally making wise decisions, has a largely Jet-equipped Luftwaffe, as well as Panther and Tiger tanks (designs motivated by "observers" in the Soviet Union seeing T-34s). Operation Himmelfallen (translates to Skyfall, I hope....) is planned. The attack begins with specially designed Ar-234s coming in at 40,000 ft and dropping SS commandos into Moscow, with the intent of assassinating the Russian Politburo, and Stalin himself (led by Otto Skorzeny himself). At the same time, Luftwaffe units, led by Ar-234 and Do-335 attackers, annihilates the Soviet front line units, and a policy of "scorched earth" is taken out, using jellied gasoline bombs and a new weapon developed: the Fuel Air bomb. The objective of these missions was to destroy everything as far in as the Luftwaffe could reach. It largely works, and the Soviet army is left reeling from the blow. Add to this that the assassination attempts in Moscow were successful, and the USSR is in disarray. A few Soviet Marshalls, seeing an opportunity, reach out to Hitler, asking him to back them in an attempt to take over what little remains of the Soviet Union at that point (here, they actually reach Moscow, but with the use of Helicopters like the Fa-223, the over-extension is less of an issue). Hitler accepts, seeing the value of having a vassal, at least for the time being. The Nazi backed Russian Liberation Army begins seeding propaganda among the remaining Red Army units, telling them of hope and better treatment under White Russian rule. This works miracles, and by the end of 1944, most of the Red Army has defected, with the last hardliners camping out in the Urals. The Soviet Union is functionally no more, under dual Nazi German/White Russian control for now.
Hitler surveys all that he rules. The USA remains untouched, having defeated Japan by mid-1944. The USA doesn't want war having lost millions of soldiers in the island hopping campaign. The USA and Nazi Germany make a trade pact, seeing that war would not be beneficial for either side.
Hitler now largely focuses on other goals. Jews are exterminated in Nazi territory, and Hitler slowly begins to disable his significantly weaker White Russian ally in order to have total control of the resource-rich Russian lands. The USA sees this happening, with calls to action being raised to stop them, but nothing can be done. The exposure of the Holocaust is greatly detrimental to US/German relations, but nothing really can be done. This does have one effect, however: A cold war settles between the Germans and the USA (late 40s/early 50s). (A Cold war very similar to the one between the USA and USSR, with US Navy ships tap-dancing with Nazi U-Boats, close encounters with Nazi Patrol aircraft shadowing USA Carriers, and a rocketry race that ends with Nazi Germany reaching the Moon first (mid 60s). Additionally, the Nazi development of A-9/A-10 and A-11 ICBMs, as well as a finally explored Silbervogel project means that Nazi Germany now has the upper hand. The USA lives in fear of obliteration by Nazi Germany. Sure, we still develop the bomb first, but we have no means of delivering it that could get through Nazi defenses (since SAMs like the Wasserfall and Rheintocher have been in service since 1944, with typical advancements occurring, and the Luftwaffe employing supersonic missile-armed interceptors since about 1946/1947).
Hitler dies in 1975 at the age of 86, and a power struggle takes place. Much like the Soviet Union, the Nazi empire fractures, as different factions gain control over certain areas. By 1980, the former German empire is no longer the massive threat it once was, with wishes for freedom and democracy rising up. By the early 2000s, few Nazi governments exist, and the world is yet on the long road to healing necessary after 36 years of Nazi rule. The scar on the people of Europe, Africa, and Asia will remain for a long time.
(Note, this is just a short idea, and it is nowhere near complete. This is just a basis I used, and it might give PvF a few ideas)