These majestic warriors are the Chosen of Sigmar, just like the 4 Chaos Gods the God-King Sigmar Heldenhammer has his own Chosen.
Riding on the lightning strikes fired at the mortal realm, these warriors seek to open the legendary Gate of Azyr so that they can liberate the people of the mortal realms from the vile clutches of Chaos.
Think of it this way, Sigmar is Odin, and these guys are all warriors of Asgard.
I had a chat with a GW Manager about these boys yesterday, and that was as much as he could tell me.
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Also, that big cat-thing? "We all have seen it before".
I have no idea what that was supposed to mean, and I couldn't get anymore info out of him. It kinda looks like either a Carnosaur or an alive Mortarch mount though.