Hey Jason,
Between Warhammer 40k and Warmachine, there are a few notable differences. Warmachine is played with a balanced ruleset with faster games, and is also cheaper to start. On the other hand, winning in Warmachine requires knowing as many rules as possible and working within a smaller margin for error. I play 40k, so I can speak to that better.
Selecting your first army is an imperfect process. Cool looking models may not actually be fun on the table in the game. It depends on what you're really looking for. Warhammer can incorporate the competitive player, the hobby/crafter/painter, or the casual gamer.
The most important tip I can offer is to do research. If you want to see what Warhammer 40k looks like in action, I highly recommend Thursday nights in Plainville. There have been lots of games running lately, lots of different armies in motion.
The more research you do before you buy your first model, the more likely you are to buy something you will be happy with. The rulebook is an excellent place to start, as is an army codex. Open the two side-by-side and see what you can figure out. Look on the internet to what other players' lists look like and why some units are chosen over others.
Personally, I didn't get it right with my first army. I thought Chaos Marines would be fun, but they never worked how I wanted. I sold and traded my way into Chaos Daemons, and it's been all love ever since. With so many options, you're bound to find something that appeals to you.
Grey Knights have the newest rulebook and are generally very strong. The Tau are expecting a new rulebook in six months or so, but there are still some army builds now that make them very formidable.
Another tip, your army will face down many, many enemies who do very different things. Become comfortable with your army and figure out what you like. Then worry about the other side of the table.
If you really, really can't wait to start putting models together and painting, Battleforce boxes are a good place to start. You'll get enough of the basics to field a small force and get you started. Definitely stop by the Plainville store to check out what's available.