In Advance Wars 1, Max is so broken that you can pretty much get away with building nothing but a few Infantry (number varies by map size/amount of properties) and Tanks. Other COs should focus on some combination of Tanks and Artillery at a 2-to-1 or 3-to-1 ratio. There need to be more Tanks to absorb the front-line attacks so that the Artillery doesn't have to, since those tend to be among the best investments you can make, especially if you're playing in Fog of War.
Grit is an exception to the "formula," though; generally he can get away with just building Artillery.
In Advance Wars 2, it really depends on the CO.
Andy - See the above Tanks/Artillery strategy, except in AW2 you'll need Md Tanks on occasion.
Sami - Flooding Mechs everywhere and throwing in some backup Artillery works; her Mechs only really have trouble with Rockets and Md Tanks, but the numbers game will overtake enemy Rockets, while enemy Md Tanks/Neotanks struggle to break through meatshield walls, then get murdered by the far cheaper Artillery, an economic advantage to Sami. Early on, try to rush some Infantry out in APCs to get to strategic bases faster than the enemy.
Max - Tanks and Md Tanks will do.
Nell - Broken. Do whatever, it barely matters.
Hachi - See Nell.
Olaf - See Andy.
Grit - See AW1.
Colin - Broken.
Kanbei - See Andy. Kanbei's Tanks have the added bonus of absolutely top-notch defense, so enemy Md Tanks and Neotanks will run into huge problems trying to get through to destroy the Artillery that will inevitably be raining down 130% damage devastation all over their ranks. You might not actually need Md Tanks with Kanbei.
Sonja - Don't use her unless you're in FOW.
Sensei - See Sami. Use Sami if you're in a map with no airports or a map with both airports and ports, since her capturing bonus and her stronger infantry (when using powers, anyway) will be the better skill there, but Sensei's incredible B Copters afford him a massive advantage in maps with only airports and bases.
Eagle - See Andy.
Drake - Don't use him if you're not in a sea map.
Jess - See Andy but focus more on Tanks. Her Artillery units are fantastic too, but the movement bonuses from her powers give the edge to Tanks and Md Tanks. No need for Neotanks here, usually, but Rockets can be good if you're in a really big map where they can be afforded without hurting your front lines.
Flak - Don't use him.
Adder - His movement bonuses put a real hurting on the standard Tank/Artillery procedure since he can break through lines of defense, but he needs the extra firepower of Md Tanks and Neotanks to do it.
Lash - Her powers are pretty broken in a lot of land maps.
Hawke - See Andy.
Sturm - Broken.