Warhammer 40,000 is the flagship game. If you’re looking to get started, Kill Team is a smaller model count game.

A new edition of 40K is out in the next few weeks. The core rules are a free download and the points for all the models will be free downloads too.

Tabletop, or computer? On my computer I had lots of fun with "Dawn of War", many years ago, and with "Chaos Gate - Demonhunters" recently (last year).

Demonhunters features the Grey Knights who are a secret chapter of psychic Space Marines who fight the forces of chaos etc etc. It's a nice game, but with a seriously shitty UI. I still enjoyed it.

I've played a bit a couple of others: "Warhammer Total War" (now in v. III) and "Spacehulk: Deathwing", "Battlefleet Gothic: Armada" etc but those were meh-so-and-so. I think the majority of WH games tend to be.

Unrelated: why so many games have an X:Y name?

My personal fave is Blood Bowl. A really tightly designed game that plays in 150 minutes (and has turn timers so this is pretty reliable), works just fine if you don't know the lore (but will bring you in), and doesn't require buying additional models in the same way most of the others do. I think it got a reprint semi-recently too.

If you like X-COM, Mechanicus is similar but also different enough to not just be a reskin. Also it has the best opening cutscene of any game I've ever seen

I've recently gotten into Necromunda which is a very fun skirmish game but horrible for how many books and minis you need to buy.

Painting the minis is a fun hobby. Boltgun is the best video game from the franchise that I've played.

Get one of the Battlefleet: Gothic games so you can tell a giant cathedral manned by zealots in 40 F150s worth of armor to suicide ram a giant space whale made of evil meat.

There is currently a turn based CRPG in beta by owlcat (They created two successful pathfinder CRPGs). It looks great so far.

It depends on your preferences.

For a l4d style horde shooter, vermintide 1&2

For a boomer shooter, the recent 40k boltgun is allegedly excellent

For tactical in the 40k realm the dawn of war 2 is great.

Space marine was a nice linear action game, worthwile on sale.