Frostgrave is nice, because you can pretty much pull anything out of your model collection, throw it down with up to 9 other models, stat it up, and call it a warband. That's what I did, many times over, when I first started reading the rules. Sometimes, of course, you might not have enough of a particular type of figure to pull off an effective warband this way; I ran into this problem with my Ducks and my Basti.
After playing a number of games with four or five different warbands, I have noticed some things about the various soldiers. Speed is better than armor. Fighting ability is better than armor. Ranged models are ether win big/lose big in a given game. Rangers are not worth the 20 gc more than Pathfinders. Thieves and Treasure Hunters are better than Thugs or Men At Arms. Infantrymen are another win big/lose big troop, if they connect they do some serious damage, but they go down quickly if they miss. Apothecaries pay for themselves after two games.
The four most useful spells in the game seem to be Leap, Telekinesis, Reveal Secret, and Wall. If you can get some decent casting numbers on these, the game becomes much easier.
Anyways, those are just some random thoughts based on about ten games without a specific scenario... I am hoping to do some scenario games this weekend.