If you like the 'olde worlde' knights... Black Templars say it all, with CLOSE COMBAT WEAPONS TO THE FACE!!
(I am however rather biased, being a BT player myself.)
Go down to the local games workshop, play with someone elses army for a short game, have a mess about with all the armies before choosing one. It is a hefty investment so you don't want to start one army only to discover it isn't actually your play style.
I'm a footslogger - lots of infantry tooled up to the teeth, take the fight to the enemys' face.
You may be a tank player, shooting player, close combat or a psychis power player. The army should reflect you and your style of playing.