Welcome to the Troupe!
Harlequins are a faction for more advanced players( basically you hit hard and fast, and pray to Cegorach that no one survives to fight back ) but is a very afforable army that is also quick to get up and running. I've not tried it myself but apparently players and skyweavers can pose a grave threat to knights. I'm currently building some Armigers to try this out...
Rules-wise they did very well in 8th edition as it was the cheapest codex( £20 ) and their Psychic Awakening rules were in a copy of White Dwarf, meaning a total of £26 to maintain. With the exception of the Deathwatch, all other factions were £50 for a codex and
PA book! Also those
WD rules were pretty good giving the main characters alternative roles to choose from, the most notable adding extra range to the Deathjesters...
I have a feeling that the new Harlequin Codex is drawing near, as they released together with the Deathwatch in 8th edition along with their
PA rules being in White Dwarf and only in two issues apart. The Deathwatch codex has already been released so I doubt it will be too much longer.
Personally I started out with Kill Team, because its only the cost of a single Troupe kit and one of the best performing factions. With the new edition out next week, why not give that a go first?
EDIT: Apparently Kill Team has seen a gigantic price hike in the basic rules and factions. Its now not worth it. Sorry to muck you about.