I've seen a lot of these threads popping up lately. There are a few things to know when starting Warmachine:

1. Choose a faction you like the look (model wise) and feel (agression wise) that fits what you like.
  • Khador is the melee faction. They do a lot of damage and are tough as nails. Khador generaly starts the game with much more muscle on the board than their opponent, however through shooting, magic and synergy the playing field is often leveled once battle has been joined.
  • Cygnar is the shooting faction. They have some of the best shooting units/ shooting buffs in the game. Their 'jacks are pretty good to with average stats across the board. Their models are more pricey as they generally are specialized for what they do. Often outnumbered by opponents, Cygnar must use careful aplication of resources to get back every last point spent on their models.
  • Cryx is the assassination faction. I quote the late Fell Calls podcast when I say Cryx is 350 points of delivery (or 25 in a Mk II game) for 150 pts of kill (10 Mk II). Their casters have agressive spells, and they have the fastest and cheapest arc nodes available. Couple that with high profile targets like Bile Thralls, Satyxis or Bane's and you've got a recepit for disaster.
  • Menoth is the synergy faction. There stats are generaly worse then everyone else, but they benefit from other units in the army which in turn makes their units above average in damage potential and durability. Also has synergy through losing models
  • Retribution is generaly a first strike army. They want to hit you first and do so much damage you cannot recover. Retribution is still fairly new, I'm still getting a feel for them (updates to come later)
  • Mercenaries are an eclectic bunch. Generally solo heavy as thats where they gain their most benefits, they're often under represented by gamers, but those who bring them generaly are of greater strategical knowledge.

2. Read up! Read over the rules and faction models multiple times (rules and fluff, as fluff drives the gamer IMO). Once you have an idea for your faction, begin looking to the interwebz for additional knowledge, which brings me to:

3. Battle College. Although not the be-all end-all tactica, it has many great suggestions. It also highlights some basic combo's such as Sorscha and Arcing Fire, or Kreoss and Deliverers.

4. Practice! You'll never become an accomplished general of the Iron Kingdoms if all you do is play theorymachine. Get out there and get some games in with your buddies, or failing that test out VASSAL, they have a decent community established of Warmachine/ Hordes players.