Strategy refers to tactics, builds, items, and all the other things that go into creating a play style and a character that can successfully kill monsters (or other players) in Diablo 3. Strategy is everything, from skill choices to item acquisition to actual play tactics. Like most ARPGs, success in Diablo 3 is largely defined by equipment, and thus "playing" the Auction House can be a bigger factor in success than anything done in the actual game.
This wiki houses numerous strategy guides for Diablo III, sorted by class and other relevant categories. Knowing how other game features work, such as the Auction House, Infernal Machine, and Crafting is essential to obtain quality equipment, so familiarize yourself with a variety of game systems.