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I have been doing a lot of searching around and debating, because I really have no idea what army I want to do. I would prefer an infantry heavy army with shooting, maybe vehicles, and definitely arty. I was wondering what army in 30k would suit me best an infinity heavy army would suit me best.

Ultramarines. Their shooting is excellent, they have great shooty infantry, and their Primarch is the second best yet released. The only thing that beats Calgar in melee is Horus- he pastes everybody else.

Your points don't really narrow it down at all; every single Legion in the game can be played as shooty infantry. The differences lie in which units you'll be stacking up on, but for such broad strokes as those you really haven't given anything to work with.
Moreso than even a 40k army, Legion lists are expensive and packed full of character, people and history. You'll be spending an awful lot of time and money with them and so you want to be choosing your Legion based on fluffy reasons before gameplay IMO.

Ultramarines and Imperial Fists both do infantry hordes well; Fists promote Bolters and good old Tactical-spam, where Ultramarines prefer a more balanced loadout and plenty of special weapons.
For closer work, Death Guard and Salamanders both receive bonuses to template weaponry; Death Guard are more destructive with Shred and Rad Grenades, where Salamanders get MC gear and better melee.
Iron Hands can do an implacable wall of ~T5 bodies and armoured vehicles, while Iron Warriors can bury you under artillery units and Cyclone Missiles.
Raven Guard will scythe out entire units to Mor Deythan and Lethal Strikes, where the Alpha Legion will rip apart your vehicles and steal your opponents special units.
Night Lords can pack up buckets of cheap Volkite squads while Sons of Horus can do Banestrike-spam.

The Emperor's Children, World Eaters and Word Bearers don't really go into shooting so much, but every Legion can still be built from the same foundations.

What do you want to paint? Aside from unique units all the legions are about the same with some minor rules. Iron Warriors does infantry pretty good, has the best terminators in 30k, ignores panic from shooting.

Lore help: They are legions, not chapters. The chapters were instituted after the Horus Heresy.

 dragoonmaster101 wrote:
Lore help: They are legions, not chapters. The chapters were instituted after the Horus Heresy.

I am aware just did not think about it and after Hersey chaos become warbands. So I tried to change the thread title earlier but I cant sorry.

Your best bet is to create a list of legions whose colour scheme/appearance you can see yourself painting.

The next step would be to go onto the 40k wiki site and read about all the remaining legions on your list. After you've done this I bet you could narrow your potential choices down to a handful. If you can come back to us with 2-4 potential legions, we can much better help you to pick one.