Pro: You're not subservient to a literally hellish abomination; you're simply a man in the right place to achieve great things
Con: You're expendable as fuck

Tzeench, definitely.

You get to learn cool shit about the Universe;
You get to live in a place literally called The Planet of The Sorcerers;
You have better living standards than most Imperial worlds, even if you are just a slave;
Your Emperor is actually ALIVE (and a cool and relatively compassionate giant red wizard);
That Aztec and Greco-Roman combined aesthetic;
Everything is pretty clean, no bodily fluids – blood, spunk, disease-ridden mucus – everywhere;
Your god knows everything;
Best keikakus in town;
If you have magical powers, they teach you how to use it instead of burning you alive;
If you don't that's cool too – all part of the plan;
Yu-gi-oh! tournaments;