Ehh....as interesting as the W40K universe is, your interest is best limited to reading the (really good) books and playing the upcoming video games, not the tabletop game.
1: Its complicated, and that complication leads to a lot of arguments and trickery if not playing against people you explicitly trust. (Or have an eidetic memory for the rules)
2: Just getting TO a game is ridiculous. Assembling, painting, moving, collecting, designing terrain......all this costs money, and has to be done before you can even play a damn game. And if you have poor artistic skills, those first two things can be a real *****, since a lot of the figures ARE NOT PRE-ASSEMBLED, AND ARE NOT SNAP TOGETHER. Then painting, which can end very badly if you don't have artistic ability.
3: ITS FUCKING EXPENSIVE AS SHIT. The starter kit alone is $100. Then the pieces get really expensive - faction tanks (Predators, Leman-Russ, Fireprism, etc.) cost $40-$50 each, individual squads anywhere from $20-$50 a squad (Space Marine Devastators, Warp Stalkers, etc), and then Heroic units cost $40+ for a single piece.
4: Its going to be hard to play. The hobby shop is dying out, simply due to the economy. Meaning that the most chance you'll have to play is in tourneys, with wealthy friends, or if you decide to be generous and let them use your pieces.
Basically, its expensive, complicated and time-consuming. You're better off doing something else.