Speaking from my own meager experience, (I just started playing in June), I suggest Cygnar.
Stick with the Warmachine factions first. Once you are sure of the basic rules, then branch out to Hordes.
My own impression is that Cygnar is midway between Cryx and Khador in style.
Khador is a hammer and plays like one, where Cryx is an assassin's blade. Continuing the analogy, Cygnar is a longsword.
I have not played with or against the Protectorate, so I can't give a comparison.
If you can find the Magnus Merc box, that may not be bad either.
I also suggest going to the Privateer Press forums and asking there. A lot more players with a lot more advice.
Not saying Dakka is a bad place to go,
PP just has a bigger pool.
edit to add link
http://www.privateerpressforums.com/