In Mordheim you live, and Die, by the crossbow.
Its great range and strength 4 to wound are made superior to the handgun because you can fire every round. When in a campaign you can give your heros with crossbows shooting skills which make it an even deadlier weapon.
To begin with I feel the best overall group to start with is Rieklanders, the Sowrdsman and Marksmen have better starting stats than the other mercs and its worth the few extra points. Get as many units as you can to start, try to avoid heavy losses early, then buy everyone who can use them a crossbow.
Once your boys are armed with 30' range death, the rest of the city had best take to hiding.
Now if you want to see something truly frightening:
Dwaven Warband
Load up on Thunderers, they can use crossbows, take an engineer to add 6 inches to the range (36 inch range St4 weapons, YIKES) and now you have a starting warband with tough 4 and weapons that can reach across the board.
I ranked up my group of dwarves in their first battle in 3 ranks of 4 troops each, hearos in the back line, and literally marched 6 inches at a turn straight at a group of shadow elves who shot, ran shot ran and finally ran off the board in fear. Then turned on high elves and marched down their throats as well. 24 elves, 11 total dwarves, 15 elves dead, 9 ran away. ZERO dwarven casualties.
Granted no casualties took a little luck, but that 4 tough saved at least 3 of my men from death, elves just can't shoot and kill you as a dwarven group =)