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Also try Battlefleet Gothic Armada 2
Personally, I'd start with the first Dawn of War: it is a bit old but still very fun to play, and has three awesome expansions with lots of content. Follow up with Dawn of War 2, also a tad old but also a lot of fun. Skip DoW 3, it's bad.
The Warhammer 40K gaming universe doesn't really have very strong "narrative" games where you can learn tons of lore all in one place. There's many games that explore some areas of the lore, though.
Dawn of War probably has the most "wide" exposition since you can play as many different races, from the iconic Space Marines, to the Imperial Guard (Sorry GW, I'm not using your new and silly trademark-friendly name) to aliens like the Necron or the Tau.
Battlefleet Gothic is about the Imperial Navy, Mechanicus is about the Adeptus Mechanicum. I'm sure you can guess what Space Marine is about.
And they're all mechanically different games, so I'd say you should probably start from the genre rather than the setting.
I think I will start with Dawn of War first to check on every faction first!
Any of the first or second games of the Dawn of War games if you like RTS.
Darktide if you like coop games like Vermintide or Deep Rock Galactic.
This game if you like CRPGs.
Gladius if you like civ.
Space Marine if you want a shooty game with lots of orcs.
Gothic Armada 1 or 2 if you want ship combat and strategy.
Boltgun if you like old school Doom.
40k games are a crapshoot and they'll give their IP to anyone with money, so lots of 40k games aren't very good. Don't expect many to be great.
If you also want to get more into 40k, listen to the YouTube lore channels like Majorkill, Adeptus Ridiculous, or Baldemort. They also have tons of audiobooks for 40k on Audible. I'd recommend the Eisenhorn trilogy if you want to get into the books, but if you like space marines Horus Heresy would be best.
Lore goes deep and seems to have some new fluff with the Navigators.
When in doubt, Dawn of War 1 and Space Marine 1.
otherwise "space marine" gives a descent representation of "real" space marines
battlefleet gothic armada 1 as it lets you fight in a dire historic event
If you're into reading, the first three books of the horus heresy are a good start
For Warhammer Fantasy, I would recommend Total Warhammer series, Vermintide series and Chaosbane
Any other is alright to get you into the setting of 40k, if you like strategy games. Try DoW Dark Crusade. If you like Hack and Slash? Inquisitor or the OG Space Marine 1 game. If you like TTRPGs, you can find some groups for the actual RT game, Black Crusade, or Only War on Roll20.
Not to mention there's this topic from 3 weeks ago:
https://steamcommunity.com/app/2186680/discussions/0/4762081419111070452/?ctp=2
Instead of buying games you may not want to buy, this video and others will help anyone understand 40K lore more than anything else in less than an hour:
https://www.youtube.com/watch?v=B0Z4i1Sl94g
More so than any 40K game loosely based on lore in favour of mechanics/gameplay (save for this one and some newer AAA-like 40K games).
Then just look up short videos for topics one needs more info on.