Kind of a broad question there
Fluff wise I'm a big (no pun intended ;-p) dwarf guy.
So in pretty much any game or setting that has them, I'll play a dwarf.
In Strategy games this means more often than not my units will have comparatively small movement ranges, high staying power / hitpoints and generally above average hitting / fire power.
This presents my dwarven units usually with unique and interesting challenges in regards to movement and troop positioning. Almost like when playing chess you'll have to think a couple turns/seconds ahead and also take into account what your opponent will do with his troops, how engagements will play out etc..
While this is the rule universally of course, for dwarven armies this is generally one of the most important aspects in strategy games more so than for any other army because while others can usually correct small positioning mistakes, adapt to a changing or unexpected situations that arise on the battlefield and generally introduce changes to positioning "on the fly", dwarfs generally have a much harder time in these respects so you'll have to plan your movements more carefully and more in-depth than other players/armies.
Dwarfs also generally field comparatively small numbers so each mistake - short or long term - will cost you dearly.
Another thing about dwarven armies is that ruses / bait tactics are hard to pull off without sacrifice because they can't disengage quickly. Unless you are able to plan these tactics out really well, because you can't afford to just "throw" a couple units away for nought, you might wanna stay away from these kind of things as newly appointed "general" aka newbie.
Because of the unforgiving nature of dwarven armies and all these draw backs, they generally are one of the races for advanced / well-versed-in-the-rules players.
So in short playing dwarfs - while in pretty much any universe I love their general fluff, attitude, character traits etc. - generally is relatively hard/advanced and you'll have to maneuver them with much care and be highly aware of what's happening on all fronts/engagements as to not get outmaneuvered by superior mobility units.
The most important thing I learned over the years playing dwarven armies in all manner of strategy games is that they encourage their generals and leaders to think on a highly tactical level. Higher than most other armies. Over time I came to really enjoy this kind of play style, because it separates the wheat from the chaff so to speak and demand high levels of attention from you as player.