While the novels are really cracking reads, the one problem with the 40K universe is that there is no one novel that anyone can point to give a basic overview of the entire universe. To build up an idea, you'd have to read a half-dozen series or more.
My opinion is that you pick up the big hardcover rulebook from Games Workshop. Skip the rules section for now, and go straight to halfway through the book, to the full-colour summary of all the races. This section is probably the best place to get an overview. Pay particular attention to the races you like the idea of the most, then read the rules. If this sounds like something you want to get into, the best place to go next are the various codexes (or codi, as I'm told I should call it).
Seriously, 5th Edition codexes are generally over 100 pages long, and over half of that is awesome fluff. They were great before, but now they are awesome sources of information.
But remember, this is not your usual science fiction. This is dark, DARK future fantasy, and suitably epic. You have been warned.