My warham buddies call me a walking 40k encyclopedia, I started my knowledge off with reading all the codexes. Then built on it with various omnibuses and books.
Try your local bookstore, it be best if it was a 2nd head because 40k books in general are expensive!
Don't limit your self to one faction though, Indulge in some chaos maybe dabble with Xeno Filth. Find what you like and build on that.
Last thing, find out if there is a nearby Games Workshop store. Its a wonderful place to go to!
Good luck and have fun