Gaunt’s Ghosts books are a good entry point since all the characters are essentially just regular people, in what is closest to a regular military in 40k. The more bizarre things in the universe are strange to them, so the books will explain as needed.

The Eisenhorn books are more like detective books. Also very good and will show you a lot of 40k lore. If you don’t fully understand something in those books, just kind of roll with it and will make sense eventually.

The Ciaphas Cain books are some good comedy, but I reccomend reading them after grasping the 40k universe a bit, possible reading Gaunts Ghosts first, otherwise you won’t really get why it’s funny.

And you can just collect old Codexes on eBay if you find them cheap. 3rd edition codexes are still my favorite for art, lore snippets, and pictures of models.

40k really isn’t something where you need to know everything about everything to get into it. Back in the day, a lot of the fun was the mystery. Modern lore has filled in a lot of gaps, but you’re perfectly able to navigate the universe with massive gaps on the details, since that was how it was originally presented.

For PC games, Dawn Of War with all the DLC is under $40. Wait to a sale and get it for like $20 and you’ll have plenty to chew on.