A few notes--
It's a fairly difficult game to learn, but I find that, once it clicks, it's a lot of fun, and the learning curve levels out pretty quickly, so, don't worry if you struggle at first.
Also, it's very adaptive and scenario-based, so you're not likely to have a good all-comers list (though, a core that goes with a given master is definitely possible).
Terrain, terrain, terrain! 50% board coverage is not unheard of, and certain forces will mop the table with others, if you don't put down a substantial amount of terrain.
Also note, some masters radically diverge from others, so it's worth paying attention to what selection they can take: cross-faction options start to get expensive, quickly, since you sometimes need to practically buy a mini-faction (or play with a lot of factions

).
The malifaux forums and pullmyfinger (the mali wiki) are good resources for beginners.