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Now that I'm really starting to get into 40k AdMech, I've started looking more seriously at ordering from Forge World, in part to field a more varied AdMech force and in part to eventually create a Dark Mechanicum army. Does anyone have any tips or recommendations for starting Mechanicum? Especially what to start with, as all the models look so nice that it's hard to decide.

Thallaxii are awesome.

Okay, first thing to keep in mind is that all of the FW Mechanicum units and army lists are designed to be used in games of 30k and are balanced accordingly, though you may use them in regular 40k with your opponent's permission.

Secondly, the book you'll need is the Taghmata book, this one: http://www.forgeworld.co.uk/en-GB/The-Horus-Heresy-Mechanicum-Taghmata-Army-List
Might be an idea to get this first so you have a good idea how you want to build your army and what models to get.

Thirdly, keep in mind that most of the models can be proxies as 40k units: Techthralls as Skitarii, Castellax as Kastellans, Thallax as Sicarians with a bit of converting etc. Good luck!

The only unit that works for 40k and not 30k is the Ordinatus Ulator.

Which is fine because that alone is fething amazing.