Amber Taylor gives a thumbs down to Philip K. Dick's classic science fiction/alternate history novel, The Man in the High Castle, which is set in a world where the Axis won World War II and the US has been conquered and divided between Germany and Japan. I tend to agree. Dick's book is high on my list of most overrated genre classics of all time.
The idea of an Axis victory alternate history was somewhat more original back in 1962 (when the book was written) then it would be today. But Dick's execution was flawed in many, many ways. The characters are implausible, the alternate history scenario even more so. It is just barely possible to imagine the Axis winning World War II despite the many advantages of the Allies. It is utterly implausible to imagine them being able to conquer and occupy the entire US by 1947. Dick's benign portrayal of the Japanese occupation is belied by the horrendous record of the actual Japanese empire of the 1940s. And all the references to the I Ching quickly become annoying without (as far as I can tell) making any genuinely interesting points or advancing the plot.
For a much better Germany-wins-WWII alternate history novel, see Robert Harris' Fatherland.