How To Imperial Agents?

So im new to 40k, and ofcourse choosing a faction is a important step.

I looked at all mainstream factions..and..they felt..boring..

Then i found imperial agents...which were honestly perfect.

They had inquisitors(I recently got the Eisenhorn Obmnibus)

It had variety

And most importantly it captured the "Grimdark" part of 40k.

But when i looked online to start imperial agents..every source told me not to for various reasons.

So my main questions regardless is- how to start imperial agents...like..there are so many options..i was hoping for a general idea.