1. Have a workable plan.
2. Sell one or more allies on the plan.
3. Implement the plan.
Since Russia was the first to post, I'll simply comment on his play. As he has said, he had a plan: team up with Austria and kill Turkey. This is a workable plan. He also managed to convince Austria to go along with it.
Where his game fell down was in the implementation phase.
You see, Austria hates Turkey and would love to destroy him off the face of the Earth, but Austria can't get the job done. The way into Turkey is just too narrow for Austrian armies to get in. so Austria's options are three:
1. Team up with Turkey and try to stab him later.
2. Crush Turkey down to 3 and figure out how to deal with him later. OR
3. Get someone with fleets to help him out. These two someones are Italy or Russia.
So Russia should have realized that what he was bringing to the table was a way to gain control of the Black Sea thus permitting Austrian troops to infiltrate.

Russia starts by ceding the Black Sea to Turkey without a fight. Worse yet, he plugs up Sevastopol so that he cannot build a second fleet. Turkeys moves are those of an unsuspecting victim.

Turkey wises up really quickly and plugs the Armenian hole. Russia plays passively. Turkey will now be very difficult to eradicate.

Russia puts Austria into Bulgaria, but really that's the end of the attack. Russia will find it nearly impossible to penetrate Turkish defenses.

Spring 1903, Austria is awake enough to make the malicious support move from Bulgaria. Russia, had he also been awake, should have had a shot at the Black Sea at this point. However, Russia has abandoned his post because of some English problems. Austria must be seething at this point.

Russia finally gets into the Black Sea, though it costs Austria Bulgaria. No matter -- Austria will take Rumania.

And in Spring 1904, Russia's key fleet is toast. At this point, Austria should throw in with Turkey and stab Russia. What else can he do?
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How could Russia have played better? Well, if you have a solid alliance with Austria, you won't need to bounce in Galicia. That means that you can afford to send a unit north. Open:
Spring 1901
F. Sevastopol - Black Sea (bounce)
Warsaw-Ukraine
Moscow-St. Petersburg
St. Petersburg-Gulf of Bothnia
Fall 1901
F. Sevastopol-Rumania
Ukraine S Sevastopol-Rumania
St. Petersburg-Finland
Gulf of Bothnia-Sweden (This will work if you have properly cozied up to Germany)
Build F Sevastopol
Build F. St Petersburg(nc)
And in the spring you can force open the Black Sea and take Norway by force.