Warhammer 40k lore is vast. The lore has been built upon since 1987 and catching up on 30+ years of content might feel daunting. Luckily, you can learn the essentials by reading the latest Warhammer 40k core rulebook (8th edition as of 2019), they keep it recent as new editions get published.

Terminology:

• Omnibus: a collection of stories, frequently three but varies.

Beginner Reading Guide:

1. read the latest core rulebook; 50% lore, reading rules is optional
2. read the Eisenhorn series, at least first three books in the series

• they are crime stories focusing on an agent of the Imperial Inquisition
• these are a good introduction to grim dark genre as a whole
• Eisenhorn Xenos; based on Ordo Xenos, a group dealing with alien species
• Eisenhorn Malleus; based on Ordo Malleus, a group dealing with demons and Chaos
• Eisenhorn Hereticus; based on Ordo Hereticus, a group dealing with other humans
• these three touch on the main groups that inhabit Warhammer 40k universe

3. read the latest codex of your preferred army, if you have any

• the rulebook and Eisenhorn should give you a decent base for what is what
• for example, I play Tyranids so I'd read Codex: Tyranid

4. then you can branch out depending your interests

• continue reading books focusing on the group you found the most interesting
• you can read books by type; e.g. crime, space opera, military sci-fi or dark humor
• you can read books by events; e.g. the great betrayal of Horus
• you can stop reading, buy some miniatures, paint them and play ;)

Optionally you can watch hours of YouTube videos that explain the basic lore and then jump into any book of your choosing.

Space Marines

• The Horus Heresy series (56+ stories)
  • gives main backstory for the Imperium, starting from 31st millenium
  • includes 56 published novels as of 2019
  • focuses on the Space Marines, continue reading as long as you wish
  • read at least Horus Rising, False Gods and Galaxy in Flames

Astra Militarum

• Ciaphas Cain series (9+ stories)
  • follows Comissar Ciaphas Cain trying to stay alive while leading unruly people; includes plenty of comical relief
  • starts with "For The Emperor" but that is also included in some collections e.g. "Hero of the Imperium"

Tyranids

• Death of Integrity
  • space marines and mechanicus in a Space Hulk with a lot of genestealers
• The Great Devourer: The Leviathan Omnibus (includes 9 stories)
  • all stories include Tyranids
  • also includes: a lot of Eldar, Necrons, Blood Angels, Human Hive Cities
• Shield of Baal Collection (includes 8 stories)
  • all stories include Tyranids
  • includes many stories that are also in "The Great Devourer", but this collection has a lot less Eldar but more Blood Angels

Genestealer Cultists

• Day of Ascension
  • follows genestealer cultists that have lost their patriarch
  • makes cultists feel more human than many of the other races