Oh oh. I know this one.
There's two kinds of Warhammer, Warhammer Fantasy (recently rebranded as Age of Sigmar) and Warhammer 40,000 (or 40k).
Both universes are broadly similar, in that they have the majority of similar tropes included: orc/ks, elves/eldar, dwarfs/squats, human empire/Imperium. They're different in that WF is all magic and shit, set in the "Old World" with lizardmen and rat people and stuff, whereas 40k is set in the grimdarkness of the far future where there is only wuah.
I will say that I don't have much experience with WF writing, but the
Malus Darkblade and
Gotrek and Felix series have been mainstay highlight series in the past.
Lots of people like to recommend the
Ciaphas Cain books as a starting point for getting into 40k writing. Personally I don't, mainly because they rely a lot on in-jokes that require knowledge of the universe to get what the hell is going on and why it's funny.
If you want something about the Imperial Guard, I'd strongly recommend the
Gaunt's Ghosts series. It's about normal people in a weird insane universe trying to survive in the Emperor's service. It's relateable and readable, and introduces concepts from the ground up, largely because Dan Abnett was inventing some of them as he went along. Also check out
Fifteen Hours for a short self-contained story with Orks in it.
If you want something about everyday life in the Imperium, I would recommend the
Eisenhorn trilogy to start with, but would even more strongly recommend the subsequent
Ravenor trilogy of books. That's all space detectives with dark magic and psyker powers thrown in.
If you wanna get up with the
Spess Mehrens, then there's a few series that're good. The
Grey Knights series, the
Ultramarines series is surprisingly good and the
Soul Drinkers series is awesome. For the Choas boyz, try the
Word Bearers series, the
Iron Warriors series (which kind of ties into the Ultramarines one, but not so much that you have to read this before that), or I would especially recommend the
Night Lords series.
There are also series on Eldar called Path of the Eldar, and I believe also a Dark Eldar series too. If you're...into that sort of thing...
There is also a completely separate series based on the Horus Heresy which I would recommend to leave until you're more familiar with the lore. It's like a huge enormous prequel series that doesn't entirely suck.
While it might seem strange, the Youtube video series
If the Emperor had a text-to-speech device actually does a lot to lore-dump the universe of 40k in amongst the weird jokes.