Depends on the powerlevel of the Campaign.
The more powerful you guys go the more 'epic' the story goes.
I'd advise against playing the Top Tier chars of factions though unless there are the right situations.
Basically either the story will be low-power:
- You have a small band of 'heroes' led for instance by an Inquisitor or the likes who cooperate to solve either a mystery (cultproblem?) or try to survive. Inquisitor's Warband, Sister-Marine-3 Guardsmen and a reluctant Eldar for instance.
- Midpowered you have a squad of Space Marines and allies engaged in a mission. Be it recovery, sabotage, evac, a purge or the likes.
- Highpowered, the world or system is a battlezone and you're all tooled up representatives of your faction among similars.
This would allow for Commanding Space Marines, Elite veteran Guardsmen, Grey Knights, Canonesses etc. The kind of epic struggle where Titans run around and your opposition is equally if not more intimidating.
On a secondary note, for information check out this link:http://wh40k.lexicanum.com/wiki/Main_Page