I enjoy 40K a great deal, but I think it is mostly the terrain making that is the most fun for me. I prefer detailling my building as much as possible, and while I am full of grandiose plans for them, getting them finished is another story completely.
So far I have collected 4 major armies, in the form of The Emperor's Children, Tau, Eldar and Daemonhunters. I also have a small contingent of the new Cadian plastics. I would consider the Tau to be my primary army. I think that their attitude and imagery appeals to me the most.
That being said, the EC are my current focus, because the Nationals are almost here (and I still have so much to paint! Anyway I've accumulated more thatn 2000 poins of EC, and I dont feel as though I have much more to add. A unit of daemonettes with D. Speed (which I am going to sculpt) and that about it...