If you're interested in playing Privateer Press's Warmachine game, this faction guide is meant to give you a general understanding of the four main factions and an introduction to the fifth non-faction (mercenaries).
Cygnar
Think: Good guys
Background and Theme
Cygnar can be considered the Iron Kingdom's protagonist nation. It has the best land, technology, and greatest number of people. Their royal crest is the Cygnus (a swan) and its people worship the twin gods of Morrow and Thamar. They are portrayed as defending their borders from many invasions.
Gameplay
You can see Cygnar's technological superiority in its ranged weapons and electrical effects. There are some nice guns in the Cygnar army and its troops are well-equipped and well-trained. Their common grunts have efficient firepower and are effective generalists, while their specialist troops range from finesse shooters to well armored knights. Cygnaran support seems to be about buffing and enhancing their own troops and warjacks directly.
Khador
Think: Mother Russia
Background and Theme
Khador is Cygnar's chief rival empire and is very similar to tsarist Russia. Their homeland is a cold place, and its people grow up strong, hardy and fierce. Their empire was once greater than it is, and so the Queen launched a campaign to reclaim lost lands, including Cygnar.
Gameplay
If I had to describe Khador's army in a word it would be "self-sufficient." Most Khador models can take a hit (or make it less likely to get hit in the first place) and come back swinging. And they usually hit hard. Their support tends to focus on not getting hit, doing more damage, and speeding up their ponderous warjacks. Their warcasters are notoriously difficult to kill, but find themselves exposed more often since they lack arc nodes. Of the Warmachine factions, Khador is most at home in the wilderness, and exploiting this advantage can win you games.
Protectorate of Menoth
Think: Religious fanatics
Background and Theme
Followers of the old faith of Menoth, the Protectorate occupies land seized by Cygnaran religious dissidents who were ceded the land. Officially, the Protectorate is Cygnar with a different official religion, but it is a de facto theocracy with its own government. Their technology is low, but they have access to knights and priests whose faith overcome death and gunfire, and the faithful who are ill-trained but driven by their prayers and holy fire.
Gameplay
The Protectorate of Menoth excels in denial. They can prevent the enemy from killing troops outright, shooting at warjacks, casting spells at warjacks, or breathe easily when they do kill Menites as a dead Menite often has effects that benefit elements of the Protectorate's army. Cheap troops provide highly inaccurate and undisciplined fire, while elite knights specialize in hand to hand combat and overcoming death. A low cost choir can directly enhance the abilities of Protectorate warjacks. Their warcasters tend to have a mix of denial elements and strong casting potential.
Cryx
Think: Undead
Background and Theme
Toruk, father of the dragons, doesn't like his kids too much. In fact, he wants to kill them all and eat their athancs, or soulstones. However, if he attacks them directly, they will band together and fight him off. So he created an army of undead to do his dirty work. This army is led in the field by 12 Lich Lords, powerful undead in their own right. Since they live theoretically forever, their plans are subtle and often require centuries to unfold. They seek to undermine and destroy the kingdoms of mortals before moving in on Toruk's offspring.
Gameplay
Cryx is all about dirty tricks. They can slow down opposing armies, make them do less damage, make them take more damage, and even take control of enemy models. They also excel at assassinating enemy warcasters. Most of these tricks come from the warcasters themselves, and they have the tools to perform them where and when they need to. Most Cryxian warcasters have a high FOC, ways to get more focus points, or both. They also have access to cheap arc nodes, so they can cast spells safely from their back lines. Their helljacks are typically fast and fragile, but when combined with the dirty tricks, can hit harder than most other warjacks in the game. Their units are mostly undead which is good because they're fearless, but bad because they have low CMD which makes them more vulnerable to other CMD effects.
Mercenaries
Think: Mercenaries
Background and Theme
Mercenaries fight for neither glory nor honor, but for sweet shiny gold. Sometimes they work for the major players in the Iron Kingdoms, and sometimes they work for any of a number of special interest groups with no army of their own, but plenty of gold to spend. In either case, they're willing to put their lives on the line if the purse is fat enough.
Gameplay
As add-ons to the other factions, mercenaries are usually used to cover a weakness or provide something so specialized, it can't be found anywhere else. As their own entities, mercenary players need to choose a contract to work for, and these contracts limit what exactly is available for you to use. However, these restrictions also provide benefits which vary from contract to contract, with the more restrictive ones generally having better benefits. It is highly advised that new mercenary players research the contracts before purchasing anything so you don't buy any models that will never under any contract work together (Ashlynn D'Elyse and Croe's Cutthroats, for example).