I've never tried the warhammer series before. What games available on gog should I check out?

What type of game do you like, there are a lot of warhammer games here (and many more not). aRPG? RTS? Turn Based? Action? Sea combat? FPS?

If you're interested in the Warhammer Fantasy setting, I would totally recommend Mark of Chaos:
https://www.gog.com/en/game/warhammer_mark_of_chaos_gold_edition

Very accessible, plus nice source of lore for the beginning.

For Warhammer 40k, wow, there we've got a big choice:

1.For classics I would totally recommend Warhmmaer 40K: Chaos Gate and Rites of War:
https://www.gog.com/game/warhammer_40000_chaos_gate
https://www.gog.com/en/game/warhammer_40000_rites_of_war

First one is turn-based tactic game, second is turn-based war strategy (something like Panzer General, but with slightly simplified rules and much, much better animated). IMO both are quite accessible, especially Rites of War.

2.For more "modern" game - well, it's a bit tough. I would recommend 3 choices:

a)Warhammer 40k: Mechanicus, if you prefer tactic for small scale (disclaimer - if you don't know anything about WH40k universe, you may feel a bit lost in this game, in terms of understanding who are those guys you're controlling etc):
https://www.gog.com/en/game/warhammer_40000_mechanicus

b)Warhammer 40k Gladius: Relics of War - strategic games with elements of 4X games, but focused on combat and simple economy, very good choice to learrn something about WH40k universe:
https://www.gog.com/game/warhammer_40000_gladius_relics_of_war

c)Warhammer 40k: Sanctus Reach (highly recommend together with DLC Sons of Cadia) - I think this one is closest to the "classic tabletop" WH40k, there are regular battles (turn-based), no economy. Doesn't give too much info about universe, but very entertaining game:

https://www.gog.com/en/game/warhammer_40000_sanctus_reach

None. I recommend trying some other franchise instead.

Don't really know gog's offering, but for 40K if you care to find the copies elsewhere:
- The Dawn of War series up to Dark Crusade is an exquisite RTS series with a potential for carnage beyond anything I've ever seen in the genre.
- Space Marine is a very solid action game (the much missed Totalbiscuit's video on it)

Oh yes of course, Gladius is on here! Unfortunately no campaign or interesting lore to speak of, but an incredibly solid 4X game built on top of a surprisingly efficient game engine. The DLC policy is the only real negative here unfortunately. Probably worth it to wait for a sale.