>>8935472going to echo
>>8936809 and
>>8935537 start going into it with the games and novels. Of course in the case of the novels it will be rather intimidating and confusing to start due to the massive glut of the options, I suggest Eisenhorn and Gaunt like that other poster as well as Commissar Cain for a more unique and light hearted approach at the universe.
As far as vidya go, the first Dawn of War games were very well recieved, the second one was a bit mixed except for the stand alone expansion DoW2: Retribution, which was very well received and considered a nice compromise in base building and the new style of play that DoW2 brought to the table. The third game however... better off without it. It's very clear and obvious they were fully committed to trying to appeal to the casual MOBA crowd that dominated gaming at the time.
Warhammer Space Marine is a great action third person game that looks like a Gears of War clone at first glance with the exception of lacking cover mechanics because "cover is for the weak", instead you get health back by brutally executing your enemies. It also is one of the best characterizations of a seasoned Space Marine who has long learned that the Codex Astartes should not be fully 100% to an absolute T.
The Battlefleet Gothic games are very niche but solid and fun games for people who like that kind of gameplay. It also is a rare focus on the 40k space ships. Spacehulk: Deathwing is a clunky and flawed game but I have a weakspot for it, but it definitely has some of the BEST environments that really cement the 40k aesthetic. Mechanicus is a great tactics game that has amazing music and focuses on the Mechanicus. I haven't touched Gladius yet but I been hearing very good things, folk seem to compare it to Civilization with a much greater focus on combat.
Whatever you do though, DON'T TOUCH ETERNAL CRUSADE. Yeah it's free to play, but its so bad no one plays it at all, so you likely wont find matches