This goes without saying. If you have read the Stratego rules, you know that the flag is by far the most important item in this board game. If you capture your opponent's flag first, you win. If your enemy captures yours first, he or she wins. Thus it is imperative to hide it as far away from the front lines as possible. Typically, you will want to line it up in the very last row. If you're a little more bold, you may prefer to place it somewhere unexpected. Either way, it should always be defended by high-rankings pieces and/or bombs.
The Marshal is the strongest Stratego piece both offensively and defensively. Thus it is useful either in beating your foe, or in protecting your men. Only the Spy is strong enough to defeat him. However, the Spy can only beat him by attacking first. If he is attacked by the Marshall instead, he loses!
Strategic placement of your Miners is quite important. They are the only piece that can disarm a bomb and yet live, thus making them crucial in the late game. If you lose most (or all) of them early on, then breaking through the opponent's fortifications can be quite the challenge.
Bombs are critical. Although they cannot move, they can take out any enemy piece that hits them. They may be employed near the back to protect the flag. However, they can be used with equal effectiveness on the front lines. You want to make sure that your bombs are not in an area that makes them vulnerable to Miners, nor a place where they will encounter low-ranking Stratego pieces such as the Captain or the Sergeant, or even worse: the Scout!
The Scouts can be quite useful in sniffing out bombs, and a Scout that dies to one is a Scout that has done his job perfectly! That said, they are also very useful at exploring terrain as they can move large distances. This can be helpful because they can reveal the ranks of opposing soldiers so that your higher level Stratego pieces do not have to do so.
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