Welcome to the world of Warhammer 40,000 (40K), General; you've got some serious choices to make. The biggest choice is which army is going to suit your purposes as a new General. Listed are the various army choices that are available to you as of 5th Edition of Warhammer 40K. As you can see, there are twelve (12) armies to choose from and all have their strengths and weaknesses.
Keep in mind the lore, or "fluff", of the army that you're choosing. It's often a great way to learn your army's place in the universe and how you can use them to the advantage of your future opponents. That, and well, GW tells a great story. For more on their lore, check out the Black Library through Games Workshop.
And now, onto the army list.
1) Space Marines: this is the most commonly played army in the history of the game. You may ask, "Why is that?" The first (and best) reason is that they have, by far, the simplest rules out of all of the other available armies. Their codex (individual rule book) is organized concisely, the rules are well explained, and they have a wide range of choices for army composition. Space Marines, or Astartes, are the cloned genus of their respective Primarchs. These Primarchs are the sons of the Emperor. The Emperor is the lord and leader of all of mankind. The Space Marines chapters (factions) are highly detailed in their paint schemes and there's always the chance to further customize and create your own chapter outside the realms of the determined Primarch armies.
BEST FEATURES: easy to get started, great codex, clear rules
WORST FEATURES: everyone and their uncle's dog has a Space Marines army
2) Chaos Space Marines: these are the Warp tainted brethren of the Space Marines. Their fall from grace occurred during the time of the Horus Heresy, where Horus - the Emperor's most beloved son and Primarch - was convinced of his father's attempt to gain status of Godhood. He turned brothers against brothers in the bloodiest battle of Astartes history. The rules for Chaos Space Marines are a bit more complicated but are far more colourful than their enlightened brothers. There are four marks to choose from: Slaneesh (the God of Pleasure), Nurgle (the God of Pestilence), Tzeench (the God of Change), and Khorne (the God of Blood).
BEST FEATURES: beautiful models, interesting rules, each different God provides different powers to its soldiers
WORST FEATURES: complex army composition
3) Eldar: every game set in some sort of fantasy realm needs something resembling elves, right? Well, welcome to the world of the "space Elves", as they've been (un)fondly dubbed by GW Generals. Eldar are the oldest and, inarguably, the wisest of the races in the world of Warhammer 40K. They are the magical and mysterious race that have been said to have opened the Gates of Chaos to the universe.
BEST FEATURES: incredible army composition, powerful specialized units, highly mobile, high initiative
WORST FEATURES: low strength and toughness, fragile, expensive in terms of points
4) Dark Eldar: this army is the antithesis and far descendant of the Eldar whose piratical tendencies run along the lines of Chaos. Their origin was in the pleasure cults of the Eldar, which eventually spawned the Chaos God, Slaneesh.
BEST FEATURES: Elven pirates - need I say more?
WORST FEATURES: codex and miniatures haven't been updated in ages, see Eldar's Worst Features
5) Necrons: there is very little known about the origins of the Necrontyr, in the realms of 40K. Their GW creation was a nod to Terminator, Star Trek Borg, and the Persian Immortals. The forte of this army is to get in close enough to shoot the snot out of the other army and, if casualties are taken by the Necrons, they have the ability to come back from the dead (a la the "We'll Be Back" rule).
BEST FEATURES: hard to defeat in battle, great in ranged combat, not as customizable, "We'll Be Back" rule
WORST FEATURES: not as customizable, lack of close combat weapons
6) Orks: this army is one of the most fun to play and is perfect for the kind of General who wants the ability to be either a hard-hitting powerhouse or a swarm of savage greenskins. Although the Orks are incredibly customizable (with the majority of its army as plastic bits), they are also complicated to learn. Many of their rules are still being hammered out by those at GWHQ.
BEST FEATURES: very versatile, army has "personality", fun to play
WORST FEATURES: complicated to play, bizarre rules that require a lot of learning, vehicles aren't hardy, unreliable weaponry
7) Witchhunters (featuring, the Sisters of Battle): the hottest army in the universe. No, really, this army is mostly made up of sexy women in Power Armour. Also, they are the preferred army of yours truly. These are the sworn women of the Emperor, whose origins date back to the Silent Sisters from 10,000 prior to our universe. Their task is to exterminate the witches of the universe (those who use the Warp). Although their strength and toughness are fairly average, the Seraphims are masters of close-combat fighting, while the powerful Immolator tank fries everything in its path. Faith Points are a huge bonus with the Witchhunters, as that is the essence of their power and connection to the Emperor. Great army to play if you love them ladies and don't mind a bit of a learning curve.
BEST FEATURES: hot chicks in Power Armour, can be combined with any army of the Imperium, Faith Points make for a powerful adversary on the table
WORST FEATURES: incredibly difficult to play and even more difficult to win a battle with. Models need an update too, for that matter.
8) Daemonhunters (Grey Knights): a highly specialized chapter of the Space Marines, that have been designated by the Emperor to hunt the Chaos Daemons that have been spawning in the realms of the Imperium. When combined with the army of the Witchhunters, they are an incredible force to be reckoned with. Still a relatively new army, they have a bit of growing to do.
BEST FEATURES: ability to combine with Witchhunters for a more fleshed out army, Terminators (!)
WORST FEATURES: young army, rules need polishing with new 5th edition release of 40K
9) Chaos Daemons: a derivative of the Chaos Space Marines army. The Chaos Daemons are made of up of the various Chaos beasts of the Warp, including Khornate Bloodletters, Slaneeshi Daemonettes, and Tzeentchian Flamers. This army is incredible at close combat but lacks in its ranged attacks. Can be combined with the Chaos Space Marines for optimum awesomeness.
BEST FEATURES: brutal close combat army, can use for either 40K or Fantasy
WORST FEATURES: very little ranged weaponry, which could be a problem against Tau and Imperial Guard
10) Tyranids: a nomadic alien race mainly composed of different types of genetically engineered forms, created from harvested bio-mass. They are the "Great Devourer" and are the "most alien race" in the Imperium. Ever watch "Starship Troopers"? Well, now you can play the Bugs in 40K. Tyranids overwhelm their enemies with the sheer numbers of their troops, and by doing serious butt-kicking in close combat.
BEST FEATURES: highly customizable, excellent at close combat, giant bugs!, swarm army
WORST FEATURES: lack of ranged weaponry
11) Tau: a young race, only discovered by the Imperium in the 35th Millenia, the Tau are the protectorates of their five castes: fire, water, air, earth, and ethereal. Their strengths are in ranged weaponry and their ability to dive in and out of combat without engaging the enemy in hand to hand combat. This is an army for a General looking to have superior firepower of his/her enemies on the battlefield.
BEST FEATURES: huge amount of fire power, incredible range, ability to move/shoot/move, mobility
WORST FEATURES: little to no ability for close combat, fragile
12) Imperial Guard: another swarm army, not unlike that of the Tyranids, the Imperial Guard are a part of the Imperium of the Emperor. The Imperial Guard use lightly armoured infantry and an incredible assortment of vehicles and weaponry to overwhelm and destroy the enemies of Humanity. They are often referred to as "the bulk of the Imperium's Military Machine". Do not underestimate the power of the infantry; blink and you'll miss a barrage of firepower from a Baneblade Tank heading your way.
BEST FEATURES: swarm army, huge assortment of vehicles, army has personality
WORST FEATURES: low Leadership, terrible saving throws, vulnerable to ordnance and template weapons
Once you've weighed the pros and cons (as well as the lore) behind each of the armies that you're initially attracted to, you're ready to begin collecting the pieces of your army. The best way to do this is to pick up a box-set army from your local Games Workshop. With it, you'll receive everything you need to get started, including the models and the Codex of Rules for your particular army. You will also need to pick up a Warhammer 40K Rulebook for the basic rules of how the game itself works.
Finally, before jumping onto the battlefield, pick up a copy of ArmyBuilder, which is an excellent way to automatically compute point values of Wargear, Upgrades, and Army Composition without you having to do the math yourself. If you use ArmyBuilder or something similar, you're going to find that you will have fewer mistakes and much shorter downtime before army builds.
I won't go over the basics of how to play a game of Warhammer because GW is way better at that. If you're looking for a guide for getting started on assembling and painting the army you've chosen, check out an article on Painting and Assembling War-Games Miniatures.
Happy playing, fellow Generals.