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.

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.