I would start off with the Starter Box. It has Sorscha (considered top five tournament/competitive caster), a Juggernaut and a Destroyer. Those two are STAPLE warjacks you will always be using in the future. They are not useless, like some of the other 'jacks other factions have (there is not useless warjack for Khador, thank god).
After that, I would look into picking up these units:
-Man-o-War Demo Corps: While Shocktroopers are nice with shield wall and high armor, Demo Corp (or DC) are typically liked more because they do ALOT more damage, and are much cheaper points wise, meaning you can field more stuff.
-Greylords: Considered the Swiss Army Knife unit for Khador. They can lock down units with Ice Cage, screen your own guys (blizzard for higher defense vs. shooting), or kill lots of guys with multiple spray templates (POW 12 spray is brutal against most infantry).
-Widowmakers: Elite Snipers. They are amazing. Can auto-kill single wound models (most troops in the game). Enough said.
-Iron Fang Pikemen: Some people like DC better, some like IFP better, some like taking both (me). Really, they're both amazing, and they both trash whatever they touch. IFP are single wound, but they have shield wall, better defense, and are FASTER. You can field a lot more in a single unit. I like them a lot, I used to take 1-2 units per game before the DC came out. I usually take both now (they fulfill different objectives). If you get these guys, be sure to get the Unit Attachment. The UA makes them fearless, they become even faster, and a bunch of other good things.
MoW Drakuhn: This is the big MoW on the armored horse. Can't miss him. Anyways, he is AMAZING (and not that expensive money or points wise). He is considered a "must take" for every Khador army list nowadays. He is weapon master, can't be knocked down, is really fast, and has two lives (dismount option). If you get him, ALWAYS ALWAYS ALWAYS take the dismount option (70pts total). While tough as nails, he is not immortal, and you want him to kill stuff. If he dies later, as long as he fulfilled his role, it's good enough. Once again, get this guy ASAP. And don't forget to take dismount.
Winterguard Mortar Crew: If you like AOEs, get two of these things. They have insane range of 20", are AOE 4", and really powerful in general. You don't give a crap if they miss, they'll just scatter and hit something else (most of the time). Very good, cheap, yeah.
Sample Army (something I would enjoy running).
Faction: Khador
Army Points: 499/500
Victory Points: 20
Kommander Sorscha KratikoffMan-o-War Drakhun (+Dismount)
Greylord Ternion
Man-o-War Demolition Corps (5)
Widowmakers
Winterguard Mortar Crew
Winterguard Mortar Crew