I first played Loyalist Marines. Then in Geneseed I played a sanctioned Imperial Psyker (Geneseed: a home-made d20 40K game), then when I started collecting again last year, Witch Hunters/Sisters of Battle.
Given the way the Emperor cares for humans, humanity and life itself, and all he wants people to stay away from is the evil force of Chaos - not "giving in to their true nature", not "happiness and freedom", not any of the lies of Chaos worshippers, but the destruction, the death and the needless suffering - how could I not follow such an individual? Certainly, the religion - dedicated to a man of science who was against both religion and needless killing - has been corrupted over time, but it is still far more pleasant than the alternative, and the only reason why the Imperium needs to be at war with humans, and dig through itself for heresy, and kill so many, is the existence of Chaos.
Without Chaos, the Imperium would be a shining beacon of safety and happiness.
Though I have to say, the Witch Hunters codex was a little bit of a letdown - due to Space Marines having everything (and Chaos Space Marines having all of their stuff (except Ass Cannons, which will be less cool in the next edition due to the loss of rending) as well as Daemons), Sisters don't have much unique stuff. Their special weapons (Melta, Flamer and Storm Bolter) can be taken by Marines. Their heavy weapons (Multi-Melta, Heavy Flamer and Heavy Bolter) can be taken by marines. A pair of hand flamers merely works like a flamer (or two HtH weapons), and about all that's left is the Inferno Pistol, for leaders.
Besides, the coolest unit, the Repentias, is overpriced by far, and has little tactical value.