Maybe it's easier when you know a bit about every faction:
Khador are the hardened warriors, they are use too cold extreme weather and use frost in the game to prevent the enemy from moving or getting up after being knocked down. They are slow moving and excel at close combat but have less ranged troops than other factions. Allthough their widowmakers and Mortar teams make up for it.
Cryx is sick... very sick. They are obviously undead. They use a lot of zombies and a couple of helljacks. The hell jacks are considered "medium jacks" because they are quite easily destroyed. The advantage is that they are fast and have a high attack value to compensate the low defense value. The little jacks from Cryx (defilers and deathrippers) can channel the warcaster's (wc) magic, so the WC can stay out of harms way. Denegrha is very nasty, because with her "poison" lore she's able to weaken the opponent. Her special feat weakens the opponent even more and that's when you can kick some serious butt.
Cryx has the possibility to field a lot of cheap infantry, and a popular tactic is to swarm the opponent with the little ones, and keep the big ones to finish the survivers off.
Cygnar is the most advanced of the Iron Kingdoms, which means the warjacks have a lot of neat gadjets that can be very irritating for your opponent. It's the same thing for the Cygnar WC, they walk around with some nice goodies that can really disrupt your opponents battle plan. They use a lot of disruption, which turns a warjack almost useless for a turn. The advantage of Cygnar is that they can do a lot of damage from a distance since they are more oriented at shooting and lightning based attacks and are not so strong in CC.
Menoth are the religous fanatics. They use fire, which can really hurt a opponents infantry and light warjacks. They are very magic orientated and have 1 light warjack that can channel magic (like the cryx 'jack) The problem with the light jacks is that they are easily destroyed. They are a bit faster than Khador, but not as hard in CC.
I don't know much about Mercenaries...
That's a (very) brief discription of the different factions... I hope it helps a bit when choosing what to start
