Welcome to the Realms of Chaos!
I'll give you a brief overview on all the legions, but be advised that one of the stickies already contains a significant amount of information on this topic. And BTW: If you like easy paintable models, Iron Warriors with their flat surfaces might be interesting.
Black Legion: All options open, and even ancient enemies will fight side by side under the command of an Undivided General.
-Strengh: Versatility
-Weakness: Versatility (with so many options, it's often hard to decided what you want to field)
Alpha Legion: Shooty, Infiltration experts, adept at attacking from multiple directions
-Strengh: Infiltration, Cultists, numbers
-Weaknesses: Icons only for cultists, no specialist marks
Iron Warriors: shooty, Siege Specialists, Heavy weapon freaks
-Strengh: additional Siege weaponry, firepower, easy paint job
-Weaknesses: no specialist marks, no daemons
Night Lords: Shooty, nightfight and assault specialists
-Strengh: Stealth Adept, Night fight, additional assault choices
-Weaknesses: no Daemons (except furies), (IMHO) no clear differences to Black Legion
Word Bearers: Demagogues commanding masses of troops
-Strengh: additional troop choices, specialist wargear for HQ
-Weaknesses: no clear advantages over Black Legion
Now to the Armies of the Gods. All of them have, in addition to the specified weaknesses, the following disadvantages:
-Restricted Units (Obliterators, Raptors, etc.)
-Expensive pointwise (19+ Pts for a basic trooper)
World Eaters: Choppy, crazed maniacs
-Strengh: Strong in melee
-Weaknesses: Weak at shooting, not that much superior in assaults, difficult to control units (blood frenzy)
Death Guard: rotten, diseased Plague Marines
-Strengh: Resilience, Strong at close-medium ranges
-Weaknesses: No heavy weapons for troopers
Emperor's children: Hedonistic perfectionists
-Strengh: Shooty and choppy, Sonic Weaponry
-Weaknesses: expensive pointwise (when specialised)
Thousand Sons: Powerful sorcerers accompanied by powerful grunts
-Strengh: Strong psykers, Resilient Grunts,
-Weaknesses: lack of weapon options, expensive pointwise
Ok, that's it. Just pick whatever Legion you like, but make sure you'll take a look at the stickied post about the Legions, so you'll get a second opinion.