The first thing you need to realize if you want to learn more about Warhammer 40,000 is that it's a SETTING. What that means is that while there's a large overarching storyline, that one moves at a glacial pace, and takes place in such an enormous place (our galaxy) - for the sole purpose of giving room to fans (and authors) to make up their own stories.
Anyway, as for how to get into the lore, I'd say you've got 3 options, you can:
1) Visit a Wiki (such as Lexicanum: ( http://wh40k.lexicanum.com/wiki/Main_Page )), but I feel that has a lot of drawbacks. It's a great method for absorbing a lot of information quickly - but it can be daunting and you are missing out on a lot of narrative and/or art.
But if you decide to go for this option, I'd suggest you pick a subject and start reading from that, using the normal wiki-method of just clicking on every unfamiliar term :P
Some suggestions to get started:
http://wh40k.lexicanum.com/wiki/Emperor_of_Mankind
http://wh40k.lexicanum.com/wiki/Imperium
http://wh40k.lexicanum.com/wiki/Chaos
http://wh40k.lexicanum.com/wiki/Eldar
http://wh40k.lexicanum.com/wiki/Tyranid
http://wh40k.lexicanum.com/wiki/Ork
http://wh40k.lexicanum.com/wiki/Tau
2) Books.
The books have their pros and cons. There are some great stories here, some would be great even if you took away the "Warhammer 40,000" branding. There's a downside though, some of the books are less loyal to the source material and may leave you confused - my rule of thumb for these situations is just to accept these anomalies and move on.
All Warhammer 40k books come out of the Black Library label. http://www.blacklibrary.com/ - I believe most of their books are now available digitally as well, if you prefer that route.
Do some research before you pick up a book to make sure that it's not one in the middle of a series - as there are a few of those. You can probably still figure it out, but you'll be better off starting from the beginning.
Most books are focused on the Imperium, specifically Space Marines, Imperial Guard and Inquistors. Chaos also get their share of books, but the alien races (Orks, Eldar, Tau, Tyranid) don't get a lot of literature... and when they do, they tend to be the antagonists.
If you want to pick up a book, my suggestion would be to look at one of Dan Abnett's series - each book are strong on their own (you don't feel like you have to read every book to get a payoff) - and have some interesting storytelling. The "Gaunt's Ghost" is a great series about an Imperial Guard regiment and their Commanding Officer, while the "Eisenhorn" and "Ravenor" series are linked, being about the Inquisitor Eisenhorn and his apprentice (and later Inquisitor on his own) Ravenor. Great series.
A series you might run into while looking at Black Library books is Horus Heresy. It's a great series, giving a lot of setup for why the galaxy is in such a shitty state - but it's set in the 31st Millenia, and, I feel, relies on quite a lof of recognition from the reader, to get the most out of them. I'm sure they are great books anyway, but I'd probably not suggest they be your first taste of the Setting. (then again, could be the best introduction?).
3) Pick up a Codex for your favorite faction.
Arguably, the only Canon lore is in these books, and they will override what the writers write about occasionally. Most of the books contain fairly detailed information on the armies, how their society works (to a degree...) and various things to get you in the right frame of mind for that army. Heroes have profiles, etc.
There's also a lot of great photos of beautifully painted miniatures in these books.
Danger here being, of course... that you may end up picking up some miniatures and start painting eventually - or even wanting to play the tabletop game :)
Hope that helps!
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