What I have...
I have the Central Pneumatic Harbor Freight Compressor and Airbrush Kit.
For the money it really is a good deal. The one issue I have come up with is you need to replace the color cup (that thing you mix paint into). The intake tub on the color cup is designed poorly and will cause you to waist paint. You can buy a replacement at Hobby Town or any other place that carries airbrush stuff. It will cost you less than $10. Other than that I really happy with it.
What I know about Airbrushes for 40K...
Single vs. Dual action, the answer is Dual action. Really it is. It is like seeing in color. You can paint without it, but it so many things are easier when don't have too. Making on the fly adjustments in the amount of paint will keep you from making mistakes and allow you to paint more naturally. plus you won't have to retrain yourself how to use an airbrush when you get a better one.
Airbrushing is a skill just like using any other tool. There is a learning curve and using the tool more gets you over it. You will have to not only learn to paint with an airbrush, but also how to clean it. Cleaning is as important with an airbrush as with normal brushes. If you brushes are all trashed after a week of use, stay away for airbrushes. Without cleaning the airbrush will be useless very quickly.
Cleaning is a skill. To start Windex is your friend. If you are going to spray acrylics (Vallejo Game Color, Reaper, GW) you can use Windex to not only clean your brush but thin paint as well. There are two types of cleaning.
One is the quick cleaning you do between colors or if you just used the airbrush for quick color. In these cases, I remove the color cup and clean it in the sink with water. Next I clean the area the color cup attaches to the air brush with a paper towel. Then I spray 2 color cup worth of Windex through the airbrush working the action as much as I can. I spray the Windex into a 1 liter coke bottle to keep the Windex fumes down. Last remove the nettle (carefully, it is sharp and fragile) and run a paper towel with Windex over it. Be careful when doing this or it will become a full disassemble.
The other type of clean is the full disassemble and soak. Anytime you run into a problem start here. I also do this cleaning after using the airbrush for an extended time or with a some anything that is tough to spray through the airbrush, like primer. Start by removing the airbrush from the air line. Every airbrush disassembles in different ways, but one thing is true. You should be able to get to every area that comes in contact with paint. You may need some pipe cleaners with Windex to get the whole track clean. Don't use anything metal or that will scratch the inside to clean your airbrush. I don't care if it is made too, just don't. One thing that can be helpful is an ultrasonic cleaner, they can be found cheap and will save you some time. Just dump all the parts in and leave them over night.
I know that is a lot on cleaning, but really it is that important.
Thinning paint is more of an art than science for me right now. You can use Vallejo Game Color and Reaper paints thinned 2:1 (2 parts paint to 1 part Windex). I have not tried any GW paints. Vallejo make Air paints that don't need to be thinned however they are hard to find and don't come in GW equivalents. Liquitex makes an Airbrush Medium for thinning paints. I have used it and I can't say it works any better than Windex. Raito seem more important. If you are going to spay cheaper paint (craft paint), I suggest thinning more like 1:1. You may end up needing to do a full disassemble and soak more often.
Using the airbrush to prime or varnish is simple. To prime I use Reaper Brush-on Primer thinned 1:1 Liquitex Airbrush Medium (1 part Reaper Brush-on Primer to 1 part Liquitex Airbrush Medium). The reason I use airbrush medium verses Windex is that it mixes better. Primer is heavier and settles so by the end of the color cup what I have is more Windex than primer. Varnish just as easy. I use Liquitex Satin Varnish water up to 4:1 (4 parts Liquitex Satin Varnish to 1 part distilled water).
Stuff you may need once you own one...
Ultrasonic cleaner ($20-60)
Liquitex Airbrush Medium ($6-8)
Liquitex Satin Varnish ($6-8)
Distilled water (less than $1)