Would you join if you had the ability to join? I like the lore of the Vex so if picked them.
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I like the Fallen myself. Something about them is just fascinating to me. Maybe it's the fact that they were once great, and have now fallen to piracy. Maybe it's just those awesome capes. Whatever it is, I like them. As for the other part of the question, I'd probably join up with the Fallen if I could, because they're cool. I've heard some interesting theories about what their motives are, and some of them seem fairly reasonable, compared to simply pirating because a pirate is free.