I gotta go with CoD4. All these years later, after two direct sequels, a plethora of successors, and an truckload of pretenders, Call of Duty 4 is the only CoD/modern military shooter game that still has a spot on my game shelf. It is just so good.
Even if you aren't interested in the raffle, I'd say drop on by. Lang is very fun to listen to, and he is raising money for a good cause with Operation Supply Drop (http://www.operationsupplydrop.org/).
Since a lot of people have already covered tips for training, I'm just going to throw out the obligatory "take to a vet, get him started on his vaccines, and get him neutered," if you haven't done so already. Most, if not all, of puppy classes/obedience classes require proof of vaccination before you are able to attend, so if you are planning on going to one of those to get him socialized, you'll need to get him vaccinated anyways. Neutering can also help curve some behavioral problems in the future, though it won't help with what you are going through at the moment.
Good luck, and do your best to stay patient with the little guy.
Like others have said, Gaunt's Ghosts is a good place to start. The Eisenhorn stuff is a bit deeper in fiction, but is very enjoyable. The Ciaphas Cain novels are a fun read, but some of the jokes might not make sense to people who aren't familiar with the universe.
If you want to jump straight into Space Marine stuff, I'd recommend either the Ultramarines omnibus, or Brothers of the Snake.
So, looking at the comments, it looks like they've got everyone bailed out, AND the game is now $1,000+ over the goal. I must admit, if it hadn't been for that poor guy's mistake, I would have never looked at this game. Now I've played the demo and pledged $25 towards it.