Creating your First Army

Step One: Choosing your faction.
There is no proper choice here. Different armies have different lore, strengths and weakness's. The following section will attempt to give a basic look at the armies, but by all means if you just think one army looks cool then go with it. The game is fairly well balanced and any army can beat any other army with enough thought and skill. Some armies may be slightly easier to learn or to play than others, but there is no "best" army. Only what is best for you as a player.
Chaos Space Marines - After the Horus Heresy this renegade faction split from the space marines and embraced the powers of the warp. essentially evil space marines. Pros: access to daemons of the warp. overall very strong units. Cons: kind of a jack of all trades situation. units are pretty good at everything but aren't really the best at anything.Chaos Daemons - In the recesses of the warp reside the gods and their servants. the Chaos Daemons are an amalgamation of evil force manifested into physical form through the powers of the warp. Technically a unique army, though chaos space marines can use all their units. Pros:Dick loads of daemons. Strong Leaders. Lots of psykers. Cons: Very high point cost. Many units must be summoned by Psykers during the game which risks the "perils of the warp "Dark Eldar - Depraved cousins of the Eldar. Pissy ass space pirates. mostly naked for some reason. Pros: GOTTA GO FAST. dark eldar units are some of the fastest in the game. Dark eldar units also have relatively high initiative. Cons: very squishy.Craftworld Eldar - An old race who's home world has long since been destroyed, the Eldar now reside on Huge world ships known as the craftworlds. Basically space elves. Pros: so GOD DAMN many special abilities. Stupid strong weapons for a fraction of what they should cost. cons: not many. Most of their guys aren't THE BEST at melee.
Necrons - During a battle fought between the Tau and the Imperium, an ancient evil was awakened. The Necrons are literally robot skeletons that have been animated through means of NANOMACHINES and the powers of the warp. Pros: So many saves. Necrons are some of the hardest units in the game to kill (and keep dead). Cons: Overall the units aren't particularly strong, just very hard to kill
Orks - WWAAAAAAGGHHHH!!!! A savage race that has stopped centuries of tribal in-fighting to take to the stars and actually kill OTHER races. Pros: lots of cheap units. Super fun unit names. WARRRR DAKKA DAKKA DAKKA. Cons: hardly any armor. Units get shredded like paper (thank god you have so many) melee focused race that attacks last in melee. Probably the weakest army in 40k right now, but also one of the most fun 
Tau Empire - A young race that realized early on that selfish action is a hindrance to progress. under the leadership of the ethereal caste, the Tau quickly ascended to a high level of technology with the mantra "for the greater good". Pros: Very strong, long ranged weapons. Cons: Hardly any melee skill. 
Tyranids - A hivemind swarm race. The Tyranids fly through the galaxy with one goal in mind. Consume. Pros: The cheapest point value units in the game. The streets will overflow with the swarm. Some of the best melee units in the game. Cons: Mediocre shooting ability. Relatively weak armor. no vehicles (but they do have vehicle sized monsters)
Space Marines - Serving their God-Emperor with undying loyalty, the many chapters of the space marine army defend humanity and its realms from heresy (read: anything that defies the emperor). Pros: Medium priced units. Pretty good at all things. A army for new players and veteran players alike. Cons: once again jack of all trades situation. while good at most things the space marines aren't truly the best at anything
Imperial Guard - now technically called Astra Militarum but no one calls them that. if the space marines are navy seals, the imperial guard is the army. Coming from every human world in the galaxy, the soldiers of the imperial guard are normal men who will gladly (read: have no choice but to) serve the emperor until death. Lead by the fearless Veterans of many wars, the Imperial guard have gone toe to toe with the worst the universe has to offer and come out (mostly) on top. Pros: Cheap units. Heavy artillery. BANEBLADES. Cons: standard units have pretty piss poor aim and weak weapons. But If you give enough airsoft guns to enough monkeys eventually they'll kill something.
Inquisition - If the space marines are the navy seals then the inquisition is delta force meets S.A.S. meets GSG9 meets the catholic crusades. Sent directly by the emperor to expunge heresy, there is no more elite group in the universe. The inquisition also maintains a policy that none outside their order may witness there methods, and have the authority to order an "exterminatus", which is a purge of all life in an area, be that area a small city to an entire planet.The inquisition is less of an army in its own right, and is more like a selection of elite people that can be brought along with other imerium armies.
Sisters of Battle - An all female chapter of the imperial holy order. The sister of battle are essentially the futuristic gun toting version of battle-priests. They fall into a niche somewhere between space marines and imperial guard. not as beefy as space marines but cheaper. better shots than imperial guard but more expensive.thumb|220x220px|none
Step 3: Making a List
A "list" is a term used to describe the list of all units and upgrade, along with their respective point costs that an army contains. List is often used as a synonym for army. for example "'yo dude, check out my rad list.' 'woah bro, that list is totally radical'". A list typically is organized in such a way such that each unit of models is shown independently. A list should look something like this:
In this example the list consists of one hq unit, a Commander, And two troop units of Fire Warriors. You will note that under the commander there is a list (containing fusion blaster, missile pod, etc). These are optional upgrades that the commander unit has been given in this list. They are written down along with their point values and tabulated with the unit total. There is no "correct" way to format your list, but make sure the list is easily comprehensible as you will need to show your opponent before the game so they know what upgrades your units have take. This is to add accountability so that players can't claim to have abilities mid match that they didn't spend points to get.
On that subject lets talk about points. Any game of warhammer 40k that is played has a certain amount of points that the participating players are aloud to use to make their army. Every unit it the game has a default point value (shown in parenthesis next to the unit names in the example). This value represents the amount of points the unit costs without any upgrades or modifiers. Additionally most units in the game do have optional upgrades and equipment that they can take for various amounts of points as described in the armies codex. A standard game of 40k is played with either 1500, 1850, or 2000 points, however games can be played with how ever many points both players agree upon. For beginning players it is recommended to start by playing a match using a 1000 point limit. A match of this size is commonly referred to as a "patrol match", and its smaller size is a good way for players to learn to make a basic list without getting bogged down in some of the more intricate aspects of list design.
So how does one get started with building a list? A list is comprised of formations. each formation has specific instructions on what can be brought within the formation, as well as special rules that are applied to the units in the formation. There are many formations but it is recommended (especially for newer players) to start with a Combined Arms Detachment.
The forced organization chart is a diagram the displays the minimum required and maximum allowed units in a Formation. The chart can be seen to the right (This Chart is for a Combined arms Detachment or CAD for short). As the chart suggests, to be usable in a game of 40k the CAD must contain at minimum 1 HQ unit and 2 troop units. Additionally a CAD can contain an extra HQ unit 4 extra troop units, 3 elite units, 3 fast attack units and 3 heavy support units. Note that these additional units are all optional and can be taken in any number so long as it does not exceed the maximum, and that a player is not required to take any of these additional units if they so choose. 
So first and foremost the player should select their HQ unit. This is the unit that will lead the CAD. Carefully review all of the options for HQ that your codex has to offer and pick the one you think sounds the most beneficial to how you would play. On your list, write the name and point value of the unit as well as the name and point value of any special equipment you wish to bring. It may also be beneficial to write down what that equipment does on the list for your own quick reference later on. There are many rules and abilities in 40k and it is very challenging to remember them all, especially if you are just beginning. 
Once you have selected your HQ unit and upgrade, move on to your two troop choices. Once again review all options available and pick the units that seems like they will serve you the best. Remember troops will typically make up the multi-role units of your army, and preparing them for multiple situations can be helpful. Typically it is better to specialize more expensive units such as elites or heavy support, and keep the infantry more as a utility asset. Pick the two units for troop selection and all upgrades that you believe they should have making sure to clearly document it all on the list.
Once this is done, congratulations you now have a (barely) legal (18+ ;) ) army. But odds are, since you only have three units you will still have plenty of points to spend, even in the relatively small confines of a 1000 point game. Maybe you don't, you might have put over 700 points into those three units. While that could potentially work for you, its more likely that you are experiencing "over upgrade syndrome". While maxing out your units seems like a good idea, keep in mind that every point you allocate to upgrades are points you cant spend on other units, and having only three units (beefy though they may be), will leave you very vulnerable to targeted attacks and explosive weapons.
With your remaining points, shop around. Look at all the many options your army provide you. Maybe you should pick up those Big gunned big armored big dicked pipe layers in heavy support. Maybe some hard hitting, baller ass dudes from elites. Whatever you choose be sure to document it on your list, and try to get as close to the point cap as possible.If you have a few spare points, go back over your list and see if you can squeeze some upgrades in. once you and your opponent each have a list you are ready to play! Just remember the golden rule of list building, nothing ever goes as well as you planned. Don't be bummed if something didn't work well. That's part of the fun. Take note of what could've worked better or what just downright sucked and use it to improve your list.above all else, remember its just a game. Have fun out there tiger.