Welcome to another installment of my seemingly interminable Warhammer 101 series.
I was originally going to consider the Grey Knights as another type of Space Marine army. I have since changed my mind.
To be certain, the crux of the army are Space Marines albeit Space Marines with unique weapons and abilities. Grey Knights have the same stat line as a regular space marine, and the same armor save.
So what separates them from their generic brethren?
1. Terminators can be chosen in larger numbers.
2. All Grey Knights are psykers.
3. Inquisitors and their boys n toys.
Let's get to each of these in turn
1. Space marine Terminators are among the most feared of all troops in the 40k universe and why shouldn't they be? Terminator armor gives the best save in the game (2+ on one six sided dice) allows you to use some truly fearsome heavy weaponry which because of that awesome armor you can still fire on the move (most regular guys can only hit on a 6+ if they move and shoot with a heavy weapon). A regular space marine army can use 30 of these bad boys but with the Grey Knights the sky's the limit (well more likely the points value of the game will be the limit, but you catch my drift).
2. Psykers have potent abilities that regular troopers don't have. Think of the Jedi force powers combined with more generic fireballs shot from hands, the ability to predict the future, and many can put their dirtiest dishes in the dishwasher without the need to pre-clean (okay, not that last one, no psyker is that powerful.) Most armies have to purchase special hero's to get access to psychic powers, but Grey Knights have them as standard.
Before I go on to my last point, it should be noted that the above abilities come at a price. Namely you will likely field a tiny army. At 2000 points (a medium sized game) you will be lucky to have 40 models. This really isn't bad or good, just don't be shocked when your ork opponent outnumbers you five to one.
3. Inquisitors are CIA + MI6+ Mossad+ the ability to kill worlds all wrapped into one.
Here is a quote from one of these guys "I carry with me an Inquisitorial Seal. It is a small, unassuming object contained in a neat box of obsidian. It is a modest thing. Plain, adorned with a single motif and a simple motto. Yet with this object I can sign the death warrant of an entire world and consign a billion souls to oblivion."
Inquisitors and their henchmen are human and set against the stats and equipment of the Grey Knights they may go ignored. However they have key abilities and crazy equipment that you shouldn't overlook out of hand.
Gregor Eisenhorn: Inquisitor
The Grey Knights are fairly new with a complete model range. It is possible that GW will add plastic inquisitors and henchmen later but you can be confident that when you buy your models they will be in service for years to come.
On the tabletop:
Grey Knights are considered a top level tournament army. This is a double edged sword so be careful, because they are seeing so much success now, many gamers are gearing their armies to be optimised against Grey Knights.
The Sisters of Battle:
I'll be honest, I wasn't quite sure where to put this. As of this writing, the Sisters of Battle are an independent army (at one time they were part of the Inquisition) that have a White Dwarf Codex.
There is some murmur that they will get their own Codex and new model range. This is far from certain. Currently the range is all metal, models that were originally released in the late 90's. If you love the range then go for it, but don't be shocked if they never get a codex or new models.