Yep, I play. Careful though.. there have been 40k discussions around these parts before, and they always led up to namecalling.
Anyhow... first of all, be prepared to spend alot of money, even for a smallish army (like around 500 to 1000 points) - I currently have around $200 in my 1250 point Space Marine army, not including rulebooks or codexes.
Now, onto the armies... I'll list what I know.
Space Marines and variants thereof (Dark Angels, Space Wolves, etc): Kind of the "Jack of all trades" army.. they're good at nearly everything, but not excellent at any one thing. They are very flexible, and can fit nearly any play style. Usual model count for a 1000 point army is around 30 to 40
Chaos Space Marines: Pretty much the same as normal marines, but tend to be tougher and have stronger units, but armies tend to be smaller in numbers than normal marines (who already have a few number to begin with). 1000pt model count, again around the 30 range.
Imperial Guard: Lots of weak infantry and usually a heavy reliance on armor and heavy weapons. Can be pretty flexible. 1000pt model count usually no fewer than 50 models, can go up to 100+ if you go really infantry heavy.
Daemonhunters and witchhunters: two of the available Inquisition armies (Xenoshunters isn't out yet), and are fairly similar to space marines... but they can be more specialized... daemonhunters are, as you may have guessed, great at taking out daemons and other large creatures. Witchhunters make heavy use of the Sisters of Battle, or basically fighting nuns
Necrons: Kind of the "undead" race of 40k... though they're mostly machines. Hard to explain
Pretty cool miniature range, and easy to paint with some simple metallic paints. They have a special rule, that if your army is reduced to 25% of it's original strength, you automatically lose, as your army "phases out" and disappears, but they also have a rule that lets dead units get back up, or "We'll be back"
This usually keeps you on your toes. Couldn't really say what a general model count is for a 1000pt army, but I'm guessing around 25 or 30.
Tyranids: The BUGS! Very much like the Zerg from starcraft (noticing a trend here? Space Marines, Bugs, and below a race similar to the protoss? Yeah, Blizzard had heavy inspiration from 40k). This is what many people call a Horde army... strength in numbers, with a few stronger units to cause the real damage. Like the Imperial Guard, model counts can be as few as 40, but can go gup to 100+. They're codex allows you to "mutate" the creatures, to customize your army. Quite fun, but can be tedious with all of the models. Tyranids rely heavily on close combat, and can move faster than any other army.
Orks: Good ol' Orks! Another Horde army, but Orks can be somewhat specialized.. they can be good at either close combat or ranged fighting. Their saving throws suck though, so don't be surprised if you lose alot. Orks are commonly considered the token humor race... they're great at losing, but they have TONS of personality, and can be loads of fun to paint.
Eldar: The elves of 40k.. I don't know tons about them, but I do know that they have a preference for psykers (magic casters) and mostly mid-ranged fighting. Their vehicles are all very strong, even their basic transports. model count can be as few as 25, but can go up to 50+.
Dark Eldar: Dark Elves.. don't know alot about them, they're not played alot where I live... I believe they're faster than normal eldar, and have more ranged weaponry, less reliance on psykers.
The Tau: The newest addition to the 40k world.. many players dislike them, as they think they are too "anime". They have lots of mecha, have bright colors, and have an asian style culture. They are almost entirely a long range fighting army, and SUCK at close combat, unless they take Kroot mercs, who have crappy saves. Tau can kick major butt, but can also suck entirely.
I think that covers pretty much everything... I personally play Space Marines, or more specifically, Dark Angels. Space Marines are a great beginner army, as they are good at all things, and through the use of tactics, can excel in many of those areas. And, superhuman guardians of mankind just kick ass
I would suggest you read through my overview, take a visit to the GW website and look around, maybe look at some of the miniatures and see what you think looks cool... that's how I began. Any other Qs, feel free to PM me or post here..