Though one obvious option is to include as many heroes as possible, to gain as much dice-rolls during the exploration phase as possible. This however is not necessarily true. As within a starting Warband the heroes, will gain the experience faster then henchmen, you want them to see action, and use the henchmen as supporting models. When a model sees some action, chances are that it can be taken Out Of Action, resulting in no extra dice for the exploration phase.

Before you start equipping your Warband-members, you have to decide what each model's function will be in the Warband. The most apparent choice being who will be equipped for close combat, and who will be equipped for missile support. While you might opt to provide some armor for the ones geared towards the close combat, the ones taking care of your missile power would obviously need none or rather low protection.

Armor

The Armor bit is actually rather easy, Heavy Armor is very expensive at 50 gc and only gives you a 4+ save. Unless you opt to go for a small Warband you probably need to spend your starting gold on other items. Light Armor proves to be a bit cheaper, but does give you less protection. If you really want to give one or two models in your Warband some decent protection, I'd say give them Light Armor and a shield. The rest of the Warband should wait being protect until your income during a campaign can handle it.

A sound investment in protection are Helmets. That extra chance of being Knocked Down, instead of being Stunned can make all the difference.

The same goes for Bucklers, enabling you to parry a blow landed upon your model. Yet with the buckler, there is an interesting other choice. Instead of a buckler, you could equip your warrior with another weapon, giving him a second attack. Still at it's reasonable cheap cost, a buckler still is a sound investment.

Weapons

Now for the weapons. This will evidently be a bigger mess, well actually that depends. Each weapon has it's advantages and disadvantages. Swords are great, good sound weapons and enabling you to parry. Yet at 10 gc, already quite an investment.

Of course you have the extra advantage that if you equip a model with both a sword and a buckler you get to re-roll a failed parry, this combination is really useful.

Other good choices are your basic club, mace, staff or hammer. At 3 gc, you get an extra chance of stunning your opponent, which is what you want (well, except for putting them Out Of Action immediately) as they don't have a chance of standing up again before your next strike. Spears give you the powerful extra ability to strike first when charged, making it a decent weapon for your 'lower' heroes.

On the other hand, the later striking models, such as the flail and double handed weapons, give you an extra strength bonus, which will be perfect for a supporting model.

Missile Weapons

Missile weapons are very potent in Mordheim, the ability to down models before they reach yours is really important. In Mordheim you don't have ranks that fill up the fallen warrior. With the long ranges of Bows you can be able to shoot at the enemy for several times before they are able to get to you, and half of it at short range. Yet, the long range is somewhat handicapped with a decent set up of the buildings and other scenery placed on your tabletop. Still a Longbow or a Crossbow is a good choice, but as there are limited points where their range works, I would limit the usage of them to about 1-2, maybe more if you don't have many buildings. Slings are useful weapons too, especially with the ability to shoot twice at half range, yet with half range being 9", this means that you are most likely at charge distance. Consequently, I wouldn't buy them as your firepower (unless they are the only choice you have), but when you still have some odd gold to spend, I would definitely recommend purchasing them for some of your close combat models, just for the odd chance they can get a shot of.

Gun powdered weapons For your close combat group, these are also good missile weapons, yet expensive ones. If you want, I would suggest giving them only to your Warband leader, or at least your model with the highest Ballistic skill. And if you really want to spend your cash give him a Brace of Dueling Pistols. With the +1 to hit and the -1 for the target's armor save, shooting every turn, makes for a really dangerous weapon. Expensive, though very usable. For the rest, I would leave them aside, purchasing them when your Warband has got a few games under their belts.

Well there you have it, my views on creating a Warband… I hope you find it of any use.