When I do a comic or a story arc on Warmachine, I tend to get a handful of emails from people curious about trying it out/switching over, but not sure where to start or what faction they should play. I'm certainly not an expert, but I have been playing WM for about five years, and I'd like to help anyone that is interested in this fun game learn more about it. It can definitely be difficult to know where to begin, especially if you've never played a miniature wargame before.
First of all, what is Warmachine? It's a tabletop strategy game played with miniatures, their stats, a measuring tape and dice. Each player has a Warcaster, a powerful warrior/spellcaster that leads their army. If this person dies, you lose.
You can play WM with just 3-4 models in a game that takes you about a half an hour, or you can play with dozens and dozens of models in huge games that take hours. There's a lot of flexibility in how you play and how long you play, which makes jumping into the game on a very small investment totally viable.
All of the Warmachine factions have a little bit of everything in their toolbox. Within each faction you'll find some ranged, some melee, some spellslingers, etc. However there are certain factions that excel in certain areas, and may be better suited to you depending on the type of play style you're looking for. So which faction to choose? My first recommendation to people is to look over the models in the different factions. They all have a distinct aesthetic appearance, and if you fall in love with the way your faction looks, you'll be excited about playing and painting them.
Still, it doesn't hurt to have an idea of what each of them do, so here's a very general breakdown of each faction as I see it.
Cygnar: Cygnar is a very shooty army. They have a lot of ranged options, and I feel they excel here. They're also big on lightning and electricity, so you'll see a lot of that being thrown around as well. If you want to be picking off the opponents forces before they even get to you, Cygnar can do that.
Khador: Khador is a beatstick. They're big and well-armored, but they're slow. If they can get to you, they have the potential to put out some serious hurt. They have a very Soviet aesthetic to the army, cold and northern. Khador excels with melee. Not a lot of finesse, but heavy hitters.
Protectorate of Menoth: The Protectorate likes to burn heathens with fire. They have a little bit of everything, and a lot of average stats at first glance. However this is a faction that excels on synergies and buffing. They especially grow more powerful when friendly models around them start dying, so with a little controlled attrition you'll see the Protectorate really start to shine.
Cryx: The undead. Cryx is a fast faction, with really high defense. They're tough to hit, but fairly squishy if you do. To make up for it, they have a lot of shenanigans that make them a very crafty faction. Probably the more spell-focused of the factions, you'll be tossing a lot of magic around.
Retribution of Scryah: The newest WM faction, the elves only recently joined the fight. They have a very unique aesthetic that doesn't appeal to everyone, but they bring some pretty neat tricks to the table. Their warjacks are the only ones in the game with force fields, and they have some very solid magic and melee options.
Mercenaries: Originally Mercs were just guns for hire that the main factions could add to their armies, but the Mercenaries are well on their way to become a solid main faction. They're still a little bit behind with some model releases, but there are a lot of very interesting options within the Mercenaries. Mercs are also where you go if you want to play some pirates!
These are the factions of Warmachine, but there are another five factions within the Hordes game that you can choose from as well. Hordes has a different core mechanic than Warmachine, but the two games are designed to be played together seamlessly, and they feature nearly all of the same rules. Whereas Warmachine tends to be a game of resource management, Hordes is a game of risk management. Hordes is where you look if you prefer a more primal, beastly army.
You can also always check out Battle College for more information about the factions/models, but be sure to take all of the information there with a grain of salt. It's not an official website, and most of the information there is an opinion.
So where do you start? Well, you'll want to find people to play with, so check out game stores in your area to find out if they run any game nights, and if anyone there plays Warmachine/Hordes. In my experience, most tabletop players are pretty friendly folks, and I'm sure they wouldn't mind if you stopped in to watch while they're playing.
Alternatively, if you can find a friend or three interested in getting into it with you, you can all start at the same time. Privateer Press offers Battleboxes for each faction, which includes a small starting battlegroup that will get you started playing. And from there, you can slowly add models to grow your army. They've also recently put out a pretty nice 2-player battlebox, if you can get a friend to go halvsies with you.