Warhammer 40,000 in the Playground
This OP is currently full of placeholder answers. Check back in a week.
I'm new to the hobby. Which army should I start?
It really depends on what you want to play. And how your meta-game shapes up. Find out what everyone else is playing near you, and play anything not those armies for best results. Otherwise, if you're starting from scratch with no-one really to play with - or, you've got a friend who is also starting from scratch - buy a Start Collecting! box and your favourite Index.
Or, if you're specifically into Primaris Marines or Death Guard, GW has conveniently set up a number of 'beginner boxes' to get you started.
What's Dark Imperium?
Dark Imperium contains a rulebook and a bunch of dice.
Comments on Dark Imperium forces.
How much does it cost?
Placeholder Answer.
Is WH40K expensive? Yes. I suppose it is. We all know it is. But, practically speaking, it's no more expensive than any other hobby.
Okay, I've got everything. What next?
Play some games. Playing some actual games, is a far, far better learning experience than anything you could glean from the internet. Although we really would appreciate some stories and how you're finding your army. Find out what works for you, find out what doesn't (just because the internet likes something, doesn't mean you will too). You, more than anyone know who your opponents are and what they're putting on the table. You are in the best position to find out what you need to bring to the table.
However, if you're still stuck. Just ask.
How many points do I need? What size board do I need?
The recommended minimum is 750.
However, in other meta-games, find out what the local tournament standard is. Most people in your area should be playing at that points level. While you're at it, here's How to write an army list.
As for board size; a 4x4' table can accommodate up to 1000 Points with reasonable room left for movement. But, after that you should probably look at finding a 6x4' area. The floor is never a bad start.
Comments on Power Rating.
What's the difference between Power Rating and Points Cost?
...A lot.
I did what you said and I still lost. What gives? 
First, this game is all about dice. Dice are random (most of the time anyway), sometimes you just get bad rolls all game and there's nothing you can really do about it. It's best to accept it, otherwise you're not going to have a very fun time.
Sometimes your opponent can make a minor change in his list - like changing from Plasma Cannons to Lascannons. That can totally alter the flow of the game and what happens when they next play you.
Sometimes the terrain placement is just bad (or the terrain itself is bad) and right from Deployment you can find yourself getting shot at and there's nothing you can do about it. Really, this can only stress how important terrain can be to how the game gets played.
And, lastly, maybe you just 'did it wrong'? Maybe you used [X] to shoot [Y] when they should have been shooting [Z]. Maybe you Charged, when the better move could have been moving backwards and Rapid Firing instead? There are all sorts of ways you can be out-played. You didn't just lose because your opponents' Queens are overpowered.
Terrain? You said this hobby was only as expensive as any other.
Yes and no. Most of your 'starting' terrain can be household items. Books. Soda-cans. Small boxes. Whatever.
If you look around the internet, you can also find a few tutorials on how to make some really decent-looking terrain. Made out of what you essentially would have otherwise thrown in the bin.
Only GW Terrain actually costs you any significant money. Making your own should only cost a few dollars tops - and your time and effort.
How much terrain do I need?
Anywhere between 25-33% of the board should be covered by terrain. On a standard 6x4' table, you would want at least anywhere between 6-8' square of terrain. It seems like a lot. But if you divide that up to 7-12 pieces, it doesn't look like much. Or you could just put a 2x3' block in the centre of the board. Don't forget that not all Terrain is 'equal', and you will definitely want a few pieces of terrain that block Line of Sight.
I don't like using Unique Characters, and I think Allies are dumb.
Your opponents probably don't. Unique Characters are pretty powerful and there's no real reason that you shouldn't be using them if your opponents are. That's not to say that all Unique Characters are good - they aren't - and certainly don't get the impression that just because it's a Unique Character that you need to use it - you don't. But some of them are still good and they do make certain armies a lot better.
However, Allies, on the other hand. Are often a required part of the game. Especially if you play Imperium, Chaos or Aeldari. Some armies just don't have the units required to fend off other units. Does this make the game unfair? Kind of. But, GW doesn't update their entire range at once (it's a big range), and so some units are always going to be better than others. But, allowing Allies is a big step to evening the playing field.
So which Allies should I pick?
Depends on your army, and what units you already have. Ask in the thread.
I can't paint.
Like any skill worth having, you get better if you practice. 90% of a good paint job is just brush control - how much paint you put on your brush and where you put it. The other 10% is just colour theory (yeah, it's a thing). The most important tool this author has is a $5 Colour Wheel. 
But, on a more serious note, the only real reason that you need to paint is if you want to participate in tournaments. Well, that and painted models just look better - if you've practised, of course.
Unfortunately, painting is a practical skill, not knowledge. The only person who can get you better at painting is you. Wraith has put together how you can go about Painting your army without losing your mind.
Is there such a thing as a 'Bad' Codex?
Not exactly. There are certainly bad, individual units. But, on the whole, every Faction is playable. However, you must remember that Allies are an intended part of the game - even if you, personally don't like them. If your Faction's entire army list is lacking in a certain area, you may have to consider whether or not it was intended to be that way, and you will have to consider whether or not to bring Allies into your army.
Helpful Army Building Guides
Previous Threads
Here's a bunch of Battle Reports for you to read. Plenty of army lists in there.
Warhammer 40K Tabletop Thread XXXVII: Highlighting the Contrasts
Originally Posted by Anuan
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