I definitely have an interest in it all, but like you said there's so much to it that it definitely can seem overwhelming with figuring out where to start. I am British so I spent my life walking by Games Workshop buildings and seeing the Warhammer books all over the place, but it's something that I never knew had so much depth to it back then, I really thought it was just about the models growing up, completely oblivious that there was actually an entire game around them beyond just painting and collecting. It wasn't until about two or three years ago that I came across Karl Kopinski's art. He was one of the artists that worked at Games Workshop back in the day and has some truly incredible paintings. The first I stumbled across were the Sisters of Battle. From there I did notice an interest appearing when it came to the art side of things. If you haven't seen his works before, I highly recommend looking his Warhammer art up.
I can tell that the franchise hasn't had the best attention when it comes to games, I have a few of them that I haven't been able to play and I'm really wanting to get into them. I started Space Marine before I went travelling, and the sequel that came out looks beautiful. I started going through Mechanicus too but didn't get too far into that. I'm going to go through some more of the comics and just take in what I can, I did see that Marvel handled the publishing of a few others over the last few years.
If you have any recommendations on comics or even the games, feel free to suggest some! I would have a bit more interest in the books but they definitely aren't available in Georgia and I don't have the time to jump into so many books all at once at the moment.
One of the best things about the universe is how comically overpowered everything seems.
I love it. The scale of it all too. Things like Imperator-class Titans are just so silly but at the same time so cool and deeply threatening. Basically a big walking church with gigantic guns on it. I think it's that over-the-top science fiction side of it that is suddenly just pulling me in. I have always loved fantasy and science fiction, and the two being mixed together in such ridiculous ways definitely speaks to me. I do think getting into it all now is a great time with how much more attention to detail the franchise seems to be getting. The quality of games over the past few years has definitely been increasing. And I think they're realising that there's a massive amount of interest in it.
There's a bit of a learning curve to it, but Space Hulk: Deathwing is a fun Looter Shooter set inside the Olethros, a gigantic dead ship teeming with Genestealers and Tyranids. It's sort of like Borderlands mixed with Diablo. There are some free DLC packs for it as well as a function that lets you replay the game with procedurally-generated missionss for every chapter, so it's always a new experience. They did really well with this one, IMO.
Book-wise, the Caiphas Cain stories by Sandy Mitchell are great starting points. Cain is a hilarious protagonist, an exceptionally-skilled yet world-weary Commissar of the Imperial Guard who does everything he possibly can to be where the fighting is not, yet always winds up in the thick of things through some twist of fate. Cain's actions usually result in him saving the lives of the people under his command while accidentally delivering decisive blows to whatever foe they are facing, so the Guardsmen view him as one of the most heroic leaders of the Imperium, when he sees himself as anything but. Hero of the Imperium is an omnibus collection of the first three novels in the series, with a few short stories thrown in as well. And if you enjoy that, there are something like seven additional novels and another ten or so short stories detailing his exploits.
Death World by Steve Lyons is another enjoyable Imperial Guard novel, very much in the vein of the first Predator film, where you have a group of highly-trained badasses going up against a colony of Orks who have set up shop on an incredibly dangerous planet.
The Book of Martyrs is an Adepta Sororitas omnibus that you'll probably enjoy too, since you liked the comic so much.