One thing to remember, is they are bringing out the 5th edition WH40k in about 2-3 weeks, including a new starter box with what are apparently some pretty good models (given they are very simple/cheap), so that might be the place to start if you're looking at starting fresh again.
I'm currently playing Tau - lots of shooting stuff (basically a distance fighting army), and the new rules should mean they aren't quite as weak in close combat as 4th edition rules (a single half decent marine could in theory + reality rip through a 12 man FW squad).
I like to always take gun drones as cheap, nuisance units, they are too effective/dangerous to ignore for most opponents but if you try and take them out, you're missing out on taking on more dangerous units, as if you ignore them they can take out light/mid tanks and transports (in a couple of games i've got them behind rhinos and the like, and they've killed it).
I've also got the Daemon box set to paint, which can be used in both Warhammer and 40K (you just need to use square bases), apart from the bloodcrusher (I think that's the beastie), they are almost entirely a close combat type force, but without being a horde army (unlike orcs, guard and nids).
It can be very expensive though, I think in the past two years i've spent nearly £600 on my bits, including
2x Tau mega force sets (one was very cheap, the other got me started - o've not started painting the second set)
Rapid insertion force set - 9 crisis suits and some stealth suits (I'm planning on a Farsight led force at some point, 9 suits armed with close quarters weapons should be rather effective).
Empire Army box for Warhammer - currently painting.
Chaos Daemons set - possibly to use in both games.
Vallejo paint set - I seem to get on better with them than the standard GW paints (and you can get metallic medium for it, which leads to metallic reds, blues and greens once you add ink)..
*In one game I had a very expensive (for the size of the game) troop of blood letters and khorn marines chasing a very cheap unit (4x gun drones) for the better part of 3 rounds when they should have been trying to capture something - unfortunately I think the blood rage has been removed now for khorn
