Welcome aboard! You really can't go wrong picking any faction and master. Just find a mini set that appeals to you and start playing. The game requires just a few figs so it's not very expensive to have multiple crews. Part of the fun of the game is discovering what works best with what.
I cut my teeth on Lady Justice who is fairly straightforward... run at stuff and chop it to pieces. Lilith would be a good starter too.
As a quick guide, the Guild Lady Justice crew has strong Melee potential, where the Ortegas are more shooty. Arcanists tend to be more ranged combat but the Marcus crew and their beasts are strong Melee. Resurrectionists have strong melee especially the Nicodem Punk Zombies, but Seamus has some shooty as well. And of course, Neverborn have some of the best Melee in the game with Lilith being an absolute terror in combat, while Pandora can pick you apart at range.
If you are ever in Atlanta, stop by Giga-Bites and throw down with us.