I've been collecting and painting for, what, 15 years? I've tried a lot of different things over the years. Dark Elves were the first army I really got into - Fantasy, obviously.
The first 40K army I really got into was Tau. I also have several smaller forces of 40K - just 750 points armies, because I wanted to try them out, wanted to paint something different. I have one of those of Dark Eldar, one of Grey Knights.
... Well, Grey Knights 'army' is a misnomer at 750 points. It's around 6 models, I think; Kaldor Draigo ( HQ choice who turns Paladins into Troop choices ), two squads of 2 and 3 paladins ( I think ), and a Dreadknight. I think that's about the smallest playable army you'll ever see. If you were to just field 750 points worth of Imperial Guardsmen, you'd probably wreck those Grey Knights every time. Still. 750 points, 6 models.
When I moved out of the country, I didn't take my stuff with me. I wanted to collect, and I wanted to play. So I considered what I'd tried out, and what I hadn't. I wanted something melee-oriented ( all my previous armies have been heavy on solid ranged choices; Dark Elves, Empire, Tau ), and went with Space Wolves. I haven't bought much yet, but I started out as Hairy suggested: I looked at my choices. I decided how I wanted to play. I bought a Codex, and a box of Troops - no HQ just yet, as I'm still undecided on what I want filling that slot.