I'm nuts about it.
I've never played the tabletop game, but that doesn't matter. What really fascinates me is the rich background, the lore behind it all - which is why I read the novels. I now have about 90 of them sitting on my shelf, and the majority of them is... well, awesome.
If you're an avid reader, I suggest you start with Dan Abnett's "Eisenhorn", a brilliant trilogy about an Imperial inquisitor, available in one tidy omnibus edition. Once you're done with that, I suggest you turn your attention towards the ongoing Horus Heresy series, which chronicles the events of the Great War 10.000 years before the actual W40k. If you prefer to browse by author, I recommend anything by Dan Abnett, Aaron Dembski-Bowden, James Swallow and Graham McNeill.
As for the games, they're not bad, either. Dawn of War 1 is a good classic RTS, and the expansion Winter Assault and (especially) Dark Crusade are worthwile as well; the final expansion, Soulstorm, is an abomination that needs to be eradicated from existence. Dawn of War 2 is an RTT game in the vein of Company of Heroes, plus a levelling and upgrade system for your hero units, and while it's quite different from DoW1, it's also a very enjoyable game, including the two expansion packs (Chaos Rising and Retribution). Note that the story arc involving the games' protagonist chapter of Space Marines, the Blood Ravens, starts in Dawn of War 1 and comes full circle at the end of DoW2: Retribution, so if you want to see it all, you pretty much have to play it all (minus Soulstorm) - which is not a bad thing, mind you.
Also, keep an eye on W40k: Space Marine, the 3rd-person shooter coming out this September, and the MMO Dark Millennium, slated for a 2013 release.