Others will probably be much more helpful than I will, but... Horus Heresy, maybe? I haven't read a lot of WH4K novels, but those should get you going. Also, if you're loaded, army books from the game are great and tend to help you get a good feel for the different groups represented in 40k. Plus, there is a lot of info on the web for free (wiki, Youtube, etc.).
novel wise is to start reading the books. HH is good, but for 40 k you should read omnibusses, battle novels and "path of" books
In here: https://www.youtube.com/user/VaultsOfTerra then rob a bank and read this books: http://www.blacklibrary.com/Home/horus-heresy-reading-order.html
Or, you always can go to the Wikia, which is based entirely on official material http://warhammer40k.wikia.com/wiki/Warhammer_40k_Wiki http://wh40k.lexicanum.com/wiki/Warhammer_40,000
Well, if you desire a specific single novel, i would suggest Strom of Iron by Graham McNeill. It sheds light on the Iron Warriors, gives Chaos and the Imperium a good showing and leads into his Ultramarines series. I would suggest saving the Horus Heresy until you've familiar with the core setting. That will allow its events to have far more impact.
I recommend Arch Warhammer channel ( https://www.youtube.com/channel/UChS9wazLlTUHSTeKVG39hZw ) , I found it very interesting, and said with great verve and voice.
I said he should read them never said he needs to purchase them. maybe local library, friends or something. but yes damn expensive. I asked Black library to make "monthly pass" to allow full access to their books for allocated time. to purchase them is just... 'spensive.