This is meant to be a basic orientation towards your goal, winning, in 40k, and your execution. You can find part 2 here.
The scenario sets forth the goals. There are two goals: capture objectives, and kill the enemy. Objective games may use kills to determine a tie-breaker, and you'll usually be doing some killing of the enemy if for no reason other than it makes it harder for him to win. (That it's fun is a close second).
So, we need guns, and we need the ability to move to objectives, and the ability to deny the enemy objectives by contesting with swift units, or simply killing/running off whatever's close to the objectives. We should also probably hold our own objective.
Strategy is the way you've chosen to go about your goal. A good strategy is broad, but still limits our options and allows us to focus on the means of achieving your goal by telling you what you're putting in your army. Your choice of strategy will also dictate your codex, as not all strategies are open to all codices. At the very least, different codices will have different takes on a given build/strategy.
There are three very basic divisions of a build:
3) Hybrid mech/foot.
Mechanized means tanks and transports are in the army. Vehicles are durable, can block LOS, mobile, and require heavier weapons to destroy. Foot armies leave vehicles at home in favor of taking lots of infantry. Hybrid armies are, well, a mix.
Mechanized builds in general have an advantage in mobility. The slowest transport vehicle tops out at 12" a turn, whereas infantry must move 6" + d6, and slower if in terrain. Vehicles can simply make better time across the field, so there is more time to get to objectives, and it is easier to put firepower where you need it when you need it there.
Mechanized builds also derive durability from the fact that vehicles are generally impervious to small arms; you need heavy weapons (and often a heap) to kill them. Or, you must deliver AP1 weapons to the target, which is not necessarily easy.
Vehicles may move and fire heavy weapons. Some are at their best just standing still and firing, others can move and fire with varying degrees of success. Comparatively, infantry tends to have shorter-ranged weapons and cannot fire heavy weapons while moving (...with some exceptions). Transports, though, can get infantry into weapons range faster and with less exposure to anti-infantry weapons. (As a bonus, anti-infantry weapons tend NOT to be so useful against vehicles).
Vehicles come in three basic flavors: light, medium, and heavy. Walkers are a subset of mech that tend to be on the light/medium side.
As you go up in size, you tend to come down in numbers. Armies are, of course, often free to mix weight types, but a focus on one specific type may be advantageous (or it may not).
Light mech refers to AV10/11ish vehicles. Usually, these are lighter transports, sometimes with guns. Light, fast skimmer tanks fall in this category as well.
The survivability of light mech comes from the fact they're usually cheap; Rhinos cost 35 points in the latest marine codices. When taken en masse, such as a nasty army like the Immolator-Heavy Sisters of Battle...it can be a daunting task to kill them all. Same goes for Mech Dark Eldar (though it knows no forgiveness as an army). Light mech provides no lynchpin unit; light mech elements can be cheap, effective, and numerous.
Samples of Light Mech vehicles:
If it's a transport, even if there are guns on it bear in mind that it needs to be filled with decent infantry. Most of the light skimmers that are fast gun platforms either sit at range and get overlooked because there are bigger fish, or are meant to run up into the enemy's face, discharge short-range weapons, and draw fire 'til they explode violently.
Running lots of light mech has the added benefit of giving your enemy no real 'lynchpin' unit to target.
Perhaps the best example of medium mech is the Eldar codex; all its tanks are 12/12/10. Medium mech bridges the cost gap, and is a bit more durable.
Medium mech includes, but is not limited to:
Eldar Grav Tanks
IG Hellhound variants
Basically, it's a middle-of-the-road choice. Sometimes it takes the form of well-armed transports like Wave Serpents, Falcons, or Devilfish. Other times, it's simply a medium-weight, medium cost weapons platform like a Hellhound or Dreadnought.
Most of the time, there are lots of options for what kind of shooting role medium-weight mech can fulfill. There's an entire codex (Eldar) built around medium mech, though it makes up for the armor value by giving the tanks additional durability enhancers.
Heavy Mech is the realm of AV14. The advantage of heavy mech is that they require very specialist kit, like melta weapons in melta range, to readily kill. The downside is that heavy mech is usually costly; the cheapest it gets is probably the Leman Russ at 150 points base. On the table, heavy mech is big, tough, and has big guns.
Leman Russ Battle Tanks
Land Raiders are notable in that they are also transports, and usually contain a very nasty assault unit. The rest of the heavy mech units are just large gun platforms. Not everyone gets access to Heavy Mech, but heavy mech can also suck down a lot of points, and going too much into heavy mech can dilute your force if the other guy has some specialist kit. It is possible to bring 3-4 Land Raiders, troops, and call it an army. However, if the other guy has sacrifical melta troops, then he can kill large chunks of your army (...the Land Raiders) and strand their contents.
Walkers are a subset of vehicles. They move like infantry, but take damage like vehicles. In assault, they fight like infantry, and only take hits on the front. They can also move and fire everything, unlike vehicles. Walkers can come in all the weights, but are mostly medium-weight. They can also be geared for shooting or assault, or be capable at both.
IG Sentinels and Penitent Engines are samples of light walkers; they're AV10 open-topped, but are cheap and can be taken in squads. Sentinels can sit back and fire, whereas Penitent Engines run hell-bent-for-leather at the enemy.
Dreadnoughts can be geared for assault with S10 power weapons, and usually have some kind of shooting capability as well. If they can GET to assault, they can deal great damage and require specialist melee kit to kill.
On Mech In General
To sum it up, on mechanization:
1) Mech provides mobility
2) Transports shield your troops from small arms
3) Mech comes in 3 basic 'weights'; you pay more for durability and guns and thus get fewer vehicles on the field. It's a continuum.
Next...I'll cover the basic flavors of foot, talk a little about Hybrid, and add a conclusion.
I'm cutting it up into two articles to see if I can avoid crit-hitting folks with a wall o' text. I'd like feedback on that, as well.