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Is this your first army overall, or just your first Space Marine army?
In either case, a brief overview:
Vanilla/Blood Angels: These two will be bundled together because there's actually a lot of overlap. Most of the list is composed of units that are versatile, but can't hold their own against specialists in any field; Assault Marines are cool and choppy, but they lose to most specialist assault units, likewise Devastators have a lot of guns, but can't outshoot most specialist shooting units, et cetera. Your strengths lie in two areas: durability, everyone's T4/3+ at minimum, meaning you can take a lot of fire; and versatility, every unit is at least halfway competent in assault and shooting, which means even if you're facing down a horde of Hormagaunts your Assault Marines will (hopefully) be able to flamer them to death, or your Devastators will be able to charge and stomp a unit of Fire Warriors in close combat, the list as a whole has a decent mix of assaulty and shooty units. Blood Angels tweak the model a bit by having some specialized assaulty units and being even tougher, so you're on a more even footing with more assault-oriented armies and can take a bit more of a punch assuming you're using that sort of build, but they can't do shooty armies quite as well.
Dark Angels: This Codex is a bit behind the times, so it's mostly worth noting for it's two distinct competitive units: the Ravenwing, who can field an absurd volume of Land Speeders and have teleport homers on their bikes, and the Deathwing, who are Terminator units that you can take as Troops and who have a rule that makes their Reserves roles more reliable. People sometimes swear by Deathwing, but I've found the two work well in concert; the Teleport Homers and Deathwing Assault mean you get your Terminators where you want them when you want them with meltaguns/plasmaguns/flamers as backup from the bikes.
Space Wolves: These guys are very heavily optimized towards assault (especially since Long Fangs are no longer BS5), I'm less familiar with them than with the others, but as far as I know they tend towards either a drop pod based build or a swarm of large numbers of angry power armored space viking bodies.
These two aren't technically Space Marines, but they're also composed of power armored people, so I might as well mention them:
Grey Knights: These guys are scarily elite; your basic guys may have S5 Assault 2 guns and force weapons, but they're 20pts each (plus another 20pts for the S5 on the guns). Grey Knights rely almost entirely on being able to pit your entire force against a smaller portion of the enemy, you'll seldom win a straight-up open-field slaughterfest, and you'll never win a war of attrition. Unless you take Coteaz and field an army entirely composed of Guardsman-equivalents, but that's boring and dumb.
Chaos Marines: Basically similar to vanilla Marines, except for the addition of Cult Marines and Daemon Engines. Cult Marines are fancy specialist units that can do a lot of different things depending on the unit, and Daemon Engines tend to be powerful close combat monsters with some ability at shooting; overall, CSM tend to focus on short-ranged firepower and assault more than other Space Marine armies.
The biggest piece of advice you need going into a Space Marine army is that your force is a jack of all trades, but a master of none. You will never outshoot Tau, or Guard, or Necrons. You will never out-assault Orks, or Tyranids, or Daemons. You will, however, always out-assault Tau, or Guard, or Necrons. You will always outshoot Orks, or Tyranids, or Daemons. Use this to your advantage.
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My own chapoter, The Broken Swords. Almost a full company.
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