It's completely nuts. Essentially a sci-fi setting where hell (the warp) not only exists, but also blends with the real universe and you can(have to?) travel through it as a means to cover vast distances quickly. Mankind has formed a kind of draconian, theocratic system to survive this madness, centered around the worship of a deified emperor.
What Swedrami suggested is a dangerous rabbit hole :) Essentially reading include who the god emperor is, how he rose to power initially on earth, who/what the primarchs are and what the horus heresy is. That covers the basics of mankind I suppose. If you have a lot of time, then videos like
this are another option. As you'll notice, it helps that a ton of phenomenal artwork has been created for the setting over the years.
You can similarly check out the other main players in the universe : Eldar, Orks(no, really...), Necrons, Tau, Tyrannids (who the zerg aspire to be) and several different chaos factions.
As for games, if you like RTSs then Dawn of War 1 (up to Dark Crusade) and 2 are great games. The first DoW has aged a bit when it comes to level design, but the presence of Gabriel Angelos carries the game all by himself. Whatever they payed that voice actor wasn't enough.