Vytau hit the nail on the head. Get what you like aesthetically right now and build a mish mashed merc unit to start. Once you get a few games under your belt the strengths and weakness of each unit will become more apparent. As was mentioned earlier, there are no 'bad' units in CAV, each unit just is designed for a specific role. I.E. Don't take a Cougar (recon) and expect it to act as an attack cav, it'll only die quickly that way, lol. In my experience with the game so far its about the composition of your forces as a whole rather than any one individual unit. Sure an Emperor will go toe to toe with just about any other heavy CAV but will still fall to concentrated long range gun and missile fire.
Having recently attended CAV Con I can share a few bits of advice that Ross Hines (Savage Coyote here) and myself learned the hard way.
-Never underestimate recon and fast attack sections no matter how weak the units appear individually.
-Always protect your fire support sections with a dedicated body guard unit or 2 (see above, lol)
-Become familiar with the various electronic warfare systems your units have (i.e. active phased array, ecm, chain pods, fcs, etc...) these can be game changers even if the unit itself doesn't have much fight in it.
-Often times a battery of smaller guns is more effective than a couple of big guns
This game is all about getting that Margin of Success combat role as high as possible so the more bonuses you can add to that role via SA's and Upgrades the better. Its truly a game about tactical maneuvering and unit cohesion than just a stand up fight.
And finally, dont be afraid to play a few games against yourself. Get a feel for the way the models you like play and then go from there. The quick start rules are available for free download at Talon-Games.com as are all the unit data cards so print a few out and roll some dice. You'll be glad you did. :)
Hope that helps. :D