Both are set in the same setting of the 'Iron Kingdoms' - a wierd fantasy world where Sci-fi and Fantasy collide. Warmachine is about huge hulking warjacks - robot constructs that are telepathically controlled by warcasters (like a
HQ) that lead their armies against those of nearby kingdoms. Some warjacks are larger, some smaller. They include infantry and artillery of various types too. Each warcaster has a limited amount of 'focus' which are spent like points to give orders to the warjacks. Living units take orders instead which follow a similar leadership system to
40KHordes is a more fantasy based game with warlocks that lead armies of beasts and monsters that are controlled similarly to the units in warmachine. The difference is that the mechanic is called fury, and rather than giving it out, you 'force' your warbeasts to do things and they generate fury points on themselves. The main difference being that instead of in warmachine giving out focus at the start of the turn the warlocks in Hordes must harvest it back, or else the beast run the risk of frenzying and you lose control of them.
The joy of the two games is that although the control mechanics are slightly different the core combat and movement mechanics are virtually the same, so the two games are interconnected and interchangeable.
Imagine your huge hulking steam powered warjack climbing over a building it's just destroyed, triumphantly standing above the wreckage of the enemy in the building, only to be slammed off it's feat by a giant troll with claw hands powerful enough to rip your warjacks arms off.
It really is rather good....