Here's my opinion of codices as of M5
Gray: Probably the strongest one in the long run. Offers next to nothing in the early game but makes a much smoother midgame thanks to the Astrosensorium boosting your research. Fortuna is very versatile if not the most roomy, nice codex craft, shadowbat is a fortress on the battlescape, snake and jellyfish have shields which lets you resolve low level air combats with no repair downtime. The jellyfish being undetectable makes it very convenient, if ill-suited for large battle due to how exposed the insides are. And of course, excellent voodoo options, gray spellbook is a handy way to get exotic damage types, create scouts and decoys. Be on the lookout for bandit blimps, the're usually a few people with wands for the aspiring magician, or just git gud at robbing mansions.
Red: Pure violence. If you want to bathe the world in nuclear fire and hack the survivors to pieces with a blood axe, pick this. The only codex that how no super maids, but has all the implements to kill and maim your enemies. Metallo is my favorite menace, nice and roomy enough for a tank, acceptable speed, Worth rushing as the weapons and armor help tremendously early on, and Lil' Ilya is insanely good for a light weapon. You've got some of the best air game options in your codex craft - snake is shielded and versatile, scarab has brutal attack power, basically of a pair of big guns with a flying car attched to them. Scorpion has the most melee-oriented craft deployment there is, wins aircar races and is faster than ninja migs. The new immolator armor looks promising, but I've not used it yet.
Gold: The most frontloaded of all codices, that gold can buy you a nice hideout, and el admiral is a very powerful outfit that can be used even in infiltration and city raids. Remember that spacesuits. Craft selection is my least favorite, even if you do have the shadowbat. El Fuego has preposterous amounts of firepower and speed but lacks transportation space, not the best if you want to bring tanks. Somewhat lacking in voodoo options with valkyrie and solaria not being implemented, but has some interesting options in the geoscape, like buying jack tokens or producing glamour. Still the rockstar codex for those who like to live fast and die young.
Green: Less of an early bloomer without the charger laser, but the bioplasma projector is much better once you get a proper air game going. Funnily enough, the only codex weapon that cannot be mounted on the flagship. Does fit snugly on a scarab though, and is way better than a carronade. The turtle is an okay transport but its interior is not 100% safe! Worm h Bonaventura is sluggish, but roomy, great if you love vehicles. Craft selection is interesting. No big secret, the handheld bio plasma gun is meant to give your biosuit wearers a suitable weapon that fits into the weight constraints of the suit and the gear needed to sustain prolonged operation. Gets a lot of lategame stuff including the ability to make gals zombielike - and revivable. This is the codex of endurance.
No codex: The challenge option. You can get the Dutchman earlier than a menace but of course it's not as good as a menace and cannot dive. Using CD weapons is an interesting gimmick, but difficult to get the same scaling the ninjas do and probably not as good as codex voodoo. Use this is you trust only in the power that is truly yours, and like a challenge.