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Recently I have decided to make a Grey Knights army, but have no idea what to get. I have already purchased a squad of paladins and a Librarian as I figure they're essential. So what else do I get? I also play against: Space Marines, Chaos, Blood angels and Eldar fairly soon

As someone who started Grey Knights recently, too, I can say that it works best, if you start with a basic 1000-1500 point list and then buy the packages you need for it.
I started with about 2-3 boxes of power-armour Grey Knights (as you can build strike squads, interceptors, purifiers and purgators from them) and about two boxes of Terminators. I build myself a libby from the Terminator box, because I don't like the GW 'Librarian in terminator armour' model, and because the equipment options are easier to model with the Grey Knight Terminators.
Hope this helps a bit.

Coteaz is bomb. My favourite hq by far.

 Atropamin wrote:
As someone who started Grey Knights recently, too, I can say that it works best, if you start with a basic 1000-1500 point list and then buy the packages you need for it.
I started with about 2-3 boxes of power-armour Grey Knights (as you can build strike squads, interceptors, purifiers and purgators from them) and about two boxes of Terminators. I build myself a libby from the Terminator box, because I don't like the GW 'Librarian in terminator armour' model, and because the equipment options are easier to model with the Grey Knight Terminators.
Hope this helps a bit.

Did help a lot, thanks. Was struggling with the quantities of models to buy, but what you suggested sounds like a decent starting point.

Gk strike squads and coteaz as your hq

Standard PAGK kits are a must, given that you get the ability to build four different kits from the one box. I'd say, twenty PAGKs is a good start, some standard terminators and a half-squad to a squad of paladins.

Using the leftovers from all of these kits you can generally kitbash your way into a few hq choices as well. Also, vehicles wise I always ran razorbacks (there are those who swear by chimeras or rhinos, ymmv) and a dreadnought or two. Dreadnkights are ok, I only ever ran one once against Necrons and he was meh.

Vehicles aren't a huge staple of GK armies (save the odd transport and Storm Ravens) given that the infantry is so damn good. Coteaz is a must as well, for 100 points you get a psyker that you can stick with any gk squad that can cover a flank by themselves (woe be to outflankers).