I've often considered writing a newbie's guide to Warhammer 40,000, as writing about games is what I do for a living and I'm obviously excited about this one. I've held off, though, because there are people out there with ten, twenty or even more years behind them as 40k (or Rogue Trader) players and with only about two years of experience behind me I think I may not be able to offer what more seasoned players could.
That having been said, I'm going to offer a little bit of advice. This advice is intended for those of you who are just getting started; you've made a couple army lists, played a few games but are still trying to get your feet as a 40k player.
If you wanna play this game, don't play the numbers. Play the story. This is not to say that you should not field smart armies and not balance all the stat lines of various units so you have forces that support each other on the battlefield -- you have to do that in order to get from point A to point B. This is not to say you shouldn't memorize the statistics, learn the odds of various dice rolls and spend your army list points carefully. Go ahead and let your brain become a calculator. There's nothing wrong with that.
Even so, let me repeat: Don't be a slave to the numbers. Don't just play the odds. Don't focus on the math. Play the story. Play the characters. Play the mythology. Let your armies develop not as a list of high numbers and macho stat-lines, but as a living, breathing force with personality and history and context. You don't have to write 100 page of fluff for your army or anything, but if you have a lot of one unit in your list and not many of another, come up with a story-related reason why. If you choose one sort of HQ over another, come up with a reason which has to do with something other than the stats. You don't have to write it down. Just know these things.
Don't pick an army because they're the best and hardest to beat. Pick the Eldar because they're mystical and weave psychic powers into their warfare. Pick the Imperial Guard because they're gritty dog-faced soldiers with the heaviest armor in the universe. Pick the Space Marines because they're the most hardened, elite warriors in the Imperium and are the tip of the Emperor's military spear. Pick Tyranids because they are a savage, teeming horde of killers that function on instinct instead of reason and do not understand what mercy or pity are. Pick your army because it's cool, not because it's tough. Pick your army because you're in love with what they are and what they do.
If you play the game as if it's math then one day soon you will get bored with it. The constant processing of numbers and statistics will eventually numb you, and the models will no longer appeal to you as anything other than simple place-holders.
So when you're looking at your army lists and trying to figure out how to make them more exciting, more interesting, more potent, don't fall into the trap of thinking that more Terminators, Carnifexes or Wraithlords will make the game more enjoyable for you. You might catch a quick rush from steamrolling your enemy for a couple games, but there's nowhere to go from there. Instead, create a mythology, a pantheon, a context and a history. Put choices in your army which make it lusher, more flavorful, more interesting.
The real appeal of this game didn't occur to me until I learned to see it as a craft as well as a mathematical challenge. Warhammer 40k is both an art and a science. Make sure it's something you play and not something you merely calculate.
Oh. And don't take Shining Spears. They suck.