For what it's worth, the Ciaphas Cain-books are totally awesome. Go read.
As for the things you should have a vague idea of:
The Imperium of Man - A rather dystopic future human empire spanning a sizeable chunk of the Milky Way. It's mostly shit. Aliens keep attacking and humans keep attacking aliens.
The Emperor - The God-Emperor of Mankind. He's kinda dead, so he doesn't do much, but people regard him as a God.
There Is Only War - The slogan of the 40K universe. As it says. It's supposed to be a "unrealistically" grim future.
Space Marines - Geneteically engineered human supersoldiers. Totally badass, but quite few. Warrior-monks, they are divided in different "chapters" (i.e. monastic warrior-orders) easily told apart by their different armour colours.
Ultramarines - The Chapter you, the player, Captain Titus, belongs to. Blue armour. Sticklers for rules, but still totally kick-ass in every way.
Orks - The name should give a clue. They are big, green, and enjoy nothing more than violence for the sake of violence. They are often depicted as somewhat more "comedic" than, say, the Orcs in the Lord of the Rings, but they are much more dangerous, easily outnumbering humanity and fighting with great ferocity (as long as they aren't busy bashing in each other's heads, which is, luckily, most of the time).
Chaos Space Marines - Space Marines who turned traitor and decided to follow the Chaos Gods, which are effectively four bad god-thingeys representing most evil gods ever. As badass as Space Marines, but with evil magics and mutations and demons and stuff. They are, unsurprisingly, rather evil. Becoming a Daemon is the greatest reward a Chaos Space Marine can get from his Dark Gods, as it grants immortality and otherwordly powers.
Guardsmen - Humans with mass-produced, low-quality guns and armour. Mostly useful as cannon fodder to keep the enemy busy until the Space Marines come along, although they have plenty of tanks and artillery.
Adeptus Mechanicus - The only humans allowed to produce technological items of any kind. Most of them are part-machine themselves. Rather narrow-minded. Based on Forge Worlds, enormous factory-worlds dedicated to production rather than habitation. The game takes place on one of these.
The Inquisition - Much like the Inquisition of the real world, the Inquisition is a human organisation who is completely paranoid about any and all signs of civil unrest, daemon worship, witch-craft, heresy etc. They are not above killing billions based on only vague suspicions. They are not very nice, but decently good at their job at least.
Reading what I've written here should about cover what you need to get a good game going. It's quite fun, both single-player and multi-player, and I'd say it's worth your time.
If you have any other questions feel free to ask, WH40K-fans are usually overly enthusiastic about sharing their hobby anyways
