Joasht wrote:
Does the alliance thing mean I can play the Easterlings, Harad and Khands together if I wanted to?
You could, but each ally needs a hero to lead it, which can eat into your points at lower army costs. At 500 points you can usually bring 2 together, probably need to hit 750+ to bring in three, depending on which leaders you choose.
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I'm completely unfamiliar with the rules so I'd need some help planning a list
Best to get the rules and start really small, like 250-300 points...a box of warriors, a box of riders and a command blister. Play some really small games with a friend on a 2x4 board until you get a good understanding of the turn sequence, moves, shooting, fight resolution and heroic actions. This will give you a nice introduction to how the rules work, what you think you need to beef up, etc. From there you'll feel a lot more comfortable building up to 500 points either by getting more boxes of plastics, and/or adding a few blisters of elites.
After that you'll be in a much better position to ask questions. Browse back through this forum for Harad armies to get some ideas.
BTW, since you don't know the rules yet, a couple points: there is a book Legions of Middle Earth which has rules for army composition and alliances. At a beginning points level you only need to know this:
1. only 33% of your warriors can be armed with a bow.
2. each allied contingent must conform to rule 1 and must be led by a hero
3. the model limit up to 500 points is 50 models
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Also, I like the Morgul Knight, Numenoreans and (by extension) Sauron model-wise. What are these guys like, can I play them in a Harad army, and how do they fare?
Those guys are part of the Mordor army. You can ally with them.
As for Sauron...it's often true in this game that the more potent/expensive the model is, the less likely it is to be used unless you're hitting 1000 points or more. Sauron and the Balrog are kind of in a class of their own, because they tend to make for really long boring frustrating games. The fun of the game is in maneuvering and tactics, not crowding around one model in the middle of the board and rolling endless rounds of dice to no effect. So I wouldn't be in a hurry to buy something like Sauron. You'll get a lot more mileage out of, say, a Mahud King and some camel riders, for 1/2 the point cost.
EDIT
@Gildor: sorry, I repeated a bunch of what you said...had it in edit and walked away for a couple hours.
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Effective in either game system and very impressive to see on the table. I’m disappointed with the price increases on them over the last couple years as I would love to add a second, or maybe even third in time, so it may be something you try to keep an eye out for online. But there are very few models you will ever put on a LotR table that gives the same feeling and gets the same reaction as these guys do. 
. The Phalanx rule is really neat, especially if you manage to use it one someone like Amdur lord of the Blades, or a Dragon Knight. Having one or even two possible bonus attacks on these guys can do some nice slaughter on the board. The War priest is nice addiot as well. Eventually a named Rigwraith like Khamul (but that is really hard to squeze in 500pts and have enough of the other troops) can wreak nice havoc as well.
