Individuals. They're something the Warhammer 40,000 universe is severely lacking in by design. Its a game of massive armies fighting wars on a global scale or higher. Whether its the massed ranks of standard issue Guardsman or the endless tide of Orks there's a uniform look to every army. Don't get me wrong, this works for the sort of game and the sort of universe GW are trying to evoke but when you're on your fiftieth dude in the same armour with the same gun it can get a little wearing.
Which is, I guess, why Inquisitors have such an attraction for me. An Inquisitor is meant to stand out, they're meant to be exceptional individuals and their entourages are an opportunity to convert interesting and unique models. This is especially true now as so many of the more interesting and evocative henchmen models have been retired. They make a nice tinkering project: a limited number of models you can really sink your teeth into without having to worry about how many more of them you'll have to finish.
Its also a wonderful opportunity to find cool third party miniatures since you don't have to worry about making them fit perfectly into the aesthetics of an army.
I have two Inquisitor characters, myself: Laurento Hex, who is a puritan Xenos Inquisitor, and Gemini Rooper, who is a radical Malleus. Hex is an investigator, prone to longterm undercover work and plans that can only be described as capers. His warband tends towards scoundrels, intelligence specialists and commandos. He has an inner circle of longterm associates who are as close to friends as an inquisitor ever gets.
Rooper is more the blood and thunder type and her warband is all offensive power with a lot of psychic operatives. She tends to view her acolytes as expendable assets. She and Hex do not get along, in fact she was once assigned to hunt him down, a misadventure during which her radical leanings were exposed and she was censured by her ordo. These days she operates on sufferance and under heavy supervision by Hex as they hunt down a renegade Inquisitor Lord called Metatronis.
Making these warbands isn't too urgent a thing, just something to tinker with, as I say. Just a fun little side project and, not uncoincidently, an excuse to buy that plastic female Inquisitor when she comes out sometime this month.