The "We'll be back" rolls have brought many happy moment when 8/10 guys from a squad get back up and guass their opponents to hell. Also, against anyone but Tau the Monolith's are pretty much unstoppable.
My favourite are Eldar, by far. I don't play 40K very often (mostly when I'm forced to...) but when I do, the Eldar are one of the most rewarding armies to play with. They have their weaknesses, but when everything clicks it really does click!
I've always wanted to do a Death Korps of Krieg army as well made up entirely of the Forgeworld models but alas, my bank keep telling me I can't afford it
The Imperial Guard of course! Whats more Badass than throwing a ton of useless...ah erm brave Soldiers that is to their death! Plus like the Empire I like the idea of being a weak human underdog
Joint with that is definitely the Thousand Sons, God I love those guys. Magnus was my favourite Primarch and I still think the emperor screwed up when he punished him so harshly I mean yea ok he kept studying Sorcery and yea he broke his daddys defenses on earth. But he meant good!
Stupid Emperor, I'm glad hes stuck on that throne!
Tyranids will eat him and become super god Tyranids, with lasers for eyes and rocket launchers for fingers, but not toes that where we keep the talons for close combat.
Ahhh Genstealers you can run but we can hide, and proceed to rip you to tiny metal shreds. BTW actually did that to a full squad of blood angle terminators, after killing another group of jump-pack people can't recall what they were called but terminators couldn't climb the small cliff so I won Whahaha.
It isnt all so black and white though, check the rulebook for Inquisitor. There are quite a divide between the different factions, one believe we need to kill the emperor to save humankind, one believe we must keep him alive, another believe one of the former two and are insanely pendantic and zealous when it comes to xenos/mutations while another one are more inclined to work with other races... and so on and so on.
The imperium of humankind is far from united in this cause. It is also what makes the lore behind it all more interesting and IMO it is far richer than lore we find in fantasy.
I've had a thousand sons army for six years...oh the times... However, with the new chaos codex and the rules edition, playing Thousand Sons competitively has become very difficult, so I wouldn't recommend them unless your really committed... hmm...I feel like writing an article on them now.