I guess i'll start it off.
Lots of politics. Civil strife, religious warfare, open aggression over territory and resources, economic links, I enjoy a setting that actually puts effort into the reasons behind a conflict, rather than just 'us V them'.
Lots of factions to choose from, plus a lot of mercenaries who are just in it for the cash.
A long backstory of warfare and strife without getting into 'grimdark' territory. It's still widespread misery, but it's relatable and semi-realistic misery. Conquest and resistance, political machinations, religious upheaval. the current part of the storyline is just a continuation of the status quo.
Very few clear 'good guys'. Every faction has its black sheep, every faction has committed horrible atrocities in the name of 'victory' or 'patriotism'.
Now, a lot of people don't like the 'steampunk' aesthetic. That's understandable, given the retarded excess that many cosplayers take it. But in Warmachine and Hordes, it's mostly played down. There aren't a lot of extraneous cogs or lenses everywhere, not everyone is covered in unrealistic bits of junk, and though the largest of military weapons is built from steam tech, most of the average soldiers are just guys with muskets (cased bullets and rifled barrels are a relatively recent invention in the setting and haven't quite caught on yet, as they're too expensive for standard issue.)
Magic, while present in the setting, is not an instant-win or fix-everything button. It is rare, limited, and dangerous.
Well, that's what attracted me to Warmahordes.