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So I recently picked up the warmachine 2-player battle box and I've been really enjoying the game so far,
I want to expand my menoth force (I've already bought a squad of exemplar errants, a choir and a paladin) and I was wondering which units I should pick up right away and what I should avoid getting at all. Any advice is appreciated.

The most commonly fielded units in Protectorate are the Exemplar Errants + UA and the Holy Zealots + UA. Temple Flameguard come very close behind these two and are a very good unit, although the UA is more of an option with this unit rather than a must have.

The only unit that I would avoid are the Deliverers as they are overcosted for what they do.

I'd recommand playing what you like the look of and rules for and just have fun!!

Pick up the big book (covenant of Menoth) no knockdown, no spells in control area
You want the UA for the errants
You want Rhupert the piper (merc solo) gives you errants tough
You should pick up 2 Vassal of Menoth
Reckoner Jack best 8 pt Jack in the game

First buy the UA for the Errants like others have said.

Avoid Cinerators, Deliverers, Cleansers, and sunburst crew.

I'd suggest not buying Vengers, Flame Bringers, Daughters, Knights Exemplar, and Idrians until you're a lot more comfortable in the game. These units are situationally useful and in the right list they can be amazing, but they don't work in every list like Errants, Zealots and TFG do.

Also don't forget solos. The paladin is okay, but there are so many other solos that you can bring in that point bracket that are significantly better. Wracks, Covenant, Vessels, Rhupert, Gorman, etc.

UA for errants followed by Vassals

Depending in which way you want to play after the three main ones mentioned (Errants, TFG, Zealots) you would likely know who your preferred casters are, depending on the caster, depends what you want next.

Some of the upper tier casters make use of different things - Feora love her some cleansers to join TFG/Zealots, but she would prefer a jack or two.

Kreoss (in particular epic) would quite like you to bring as many exemplar models as possible - A unit of Errants is obviously the must, then followed by some Bastions but Knight Errants or two wouldn't go a miss either (he also really enjoys Daughters on the feat turn/jamming lines to setup an immense feat turn)

It sounds like you have a good base right now (just pick up the UA and possibly the solo). I'm not sure how important it is for Menoth, but usually at this point I'd say play a little then pick a caster you think you'd like to play long term. What you buy often depends on the caster. What is awesome for one may be meh for another.

Once you get a caster you like and build up to a 35 point, then 50 point list then you can start expanding your collection. But I think building a solid list first is important.