Space Marines- Probably 50% of all 40k players use them. Overrated, but definitely have their merits gameplay-wise: Space Marines have a balanced armylist that is very beginner-friendly. Their units don’t really have morale problems (“And They Shall Know No Fear”), they have a good variety of sneaky/fast/hardhitting/meatshields. They are a little costly points-wise (one Space Marine costs 15 points, something you really need to factor when you play a game where each player can only spend 1000 points total) but that works to the beginner’s advantage: You don’t have to buy as many models (thus an ‘army’ is cheaper to buy money-wise) and the actual models are generally easy to assemble and paint. They are also fun to customize to make your own Force Commander/Chaplain/etc.
Eldar- Once considered cheesy, they are lots of fun to collect; they have TONS of different models/units so there is plenty of variety in their armylist. I consider them an army of ‘specialists’, that is, one one type of unit are dedicated shock troops (Howling Banshees), melee fighters (Striking Scorpions), shooty guys (Dark Reapers), tankbusters (Fire Dragons) and so forth. They have a lot of inherent versatility, and an Eldar player who has collected a lot of models can probably whip up an army list that can competently take on pretty much any other army. In theory, game balance would dictate that EVERY race should be able to pull this off, but as you will see this is just not the case. 
Imperial Guard- Very interesting WWII-throwback type of army, generally made up of hordes of lightly armed infantry and big tanks. In some aspects, they function similarly to orks in that they utilize massed firepower, but in IG’s case they also make use of artillery and long-ranged weapons. Nobody will want to play an Imperial Guard army on a huge battlefield. Why? Because their Basilisk artillery has a range of 120" (which is nearly DOUBLE that of the next longest ranged weapon) and they’d get pounded to hell and back by it unless they were very maneuverable.
Orks- Orks are probably one of the funnest armies to collect, mainly for the comedic value of their units and potential customization. Orks can be challenging to play because they are horrible at shooting. However, orks benefit from ‘strength in numbers’ and despite crappy stats they often win by overwhelming the opponent with targets. Their morale also benefits from big squads (mobs of 12+ are basically fearless) and there are nearly infinite modeling potential for their units and vehicles. I’ve seen some very creative examples, such as a battlewagon (big transport) which someone made by taking a model house, removing the roof, and putting tank treads on the bottom, essentially making it a mobile pillbox.
Dark Eldar- Kind of an all-or-nothing army: either they will win by a wide margin or lose horribly 
They would be a bit more interesting if people didn’t use such one-dimensional tactics with them. Wych armies are particularly challenging, yet rewarding to play/model.
Chaos- Rather broken or so I hear as of late. Chaos are ‘evil’ space marines, which can take a lot of the same stuff but also have all the advantages of whatever daemonic diety they worship. Very interesting looking models, however.
Tyranids- Extremely customizible, which is neat. Unfortunately, that often leads to powergaming (people fielding ‘spineguants’, a rather formidible critter costing a mere 5 points, sometimes allowing the Tyranid player to field hundreds of models on the battlefield! :eek: Great intimidation factor, very much reminiscent of the Bugs in Starship Troopers, however, their great downside (along with Imperial Guard and Orks) is that numerically-heavy armies mean you are going to have to buy a LOT of models. This gets expensive QUICK, and it also means you have hundreds of models you need to assemble, paint, account for, and store. People who play armies like these often come into the Games Workshop store with one of those suitcases on wheels FILLED with models :eek:
Tau- Basically a dedicated ‘shooty’ army. Fun to watch a Tyranid vs Tau army, very much like ‘Starship Troopers’ again. Tau can be a little broken when it comes to some units- their ‘grunt’ unit has the best rifle in the game in terms of strength and range. This is supposedly balanced by the fact that they suck in hand-to-hand combat. Unfortunately it means many Tau Players just hang back as far as they can and shoot away at enemies advancing on them. Like Dark Eldar armies, I don’t see a lot of variation in tactics with Tau armies The Tau look very anime-inspired. Their infantry and crisis suits have a definite ‘mecha’ flavor to them. Unfortunately, this really clashes with the game universe- I’m not saying the units don’t look good, it just doesn’t match the ‘feel’ of the game universe in general.
Necrons- Man, I hate these guys! They get a lot of cheesy units, and the nature of their armylist pretty much forces the other player to load up on heavy weapons. Probably the most annoying characteristic of this army, though, is the fact that all their ranged and melee attacks can potentially wound units regardless of how tough they are, and can also always potentially destroy a vehicle no matter how heavily armored it is. Vehicles like Land Raiders become a collosal waste of points when a lucky hit from an 18 point model can destroy a 250 point vehicle :mad: Not to mention the C’tan, uber powerful units which can dominate the battlefield single-handedly. Appearance-wise, the Necrons are very cool looking. They look like Terminator endoskeletons, and many of their units have an Egyptian theme to them (their only vehicle is basically a big flying pyramid).
Which unfortunatly stopped when I was at uni 3 years ago (there was a uni gaming club, but they took it waay too seriously).