Right now, I'm thinking that I'll have you all start as members of the Left Hand Investigatory Agency - a company that's about a month old and hasn't had a single customer. You've resorted to hunting bounties on gremlins out in the Bayou, or chasing down Neverborn for bounty, but the real money is in customers who have problems that the Guild refuses to handle (or that need to be handled away from the Guild's watchful eye), and none of those opportunities have made themselves present.
Human characters only, but other than the above established background you can be whoever you want - a gambler fresh off the train through the Breach, a scholar who's been shunned by his patron and forced to do actual work, a former miner with a mechanical arm who's discovered he's got a talent for smashing faces, a seasoned gunslinger who had an unceremonious departure from the Guild, etc. Magic is more or less illegal for anyone who doesn't have Guild sanction, but you can be in their thrall in various ways (blackmail, debt, bribes) so that you don't actually have to work for them. Probably no Necromancy unless you can get the agreement of the other players.
Backstory and character information is always appreciated ahead of time, but we can do that the day of too - I think that if I run a proper Malifaux campaign I'd like to do the tarot reading portion of character creation with lots of candles and ceremony. Maybe a dark hood and a pentacle drawn in sharpie on the table?