I love Warhammer 40k. I know next to nothing about it, but the massive scale and the fanatical devotion to the Emperor is impressive. Not to mention giant, GMO guys that are beating (sometimes literally) aliens and traitors into the ground. There are weapons that destroy planets and there are hammers that can punch holes in tanks. There are flamethrowers, machine guns, plasma cannons, grenades that rip open realspace.
Numerous races litter the galaxy, from the Imperium of Man, to the ever-consuming Tyranid, to the few, proud Eldar that are desperately trying to survive after fucking up so badly that they created a god that consumed the souls of a majority of their race.
You can check out one of the many w40k wikis around to get a sense of what's going on. Fair warning, there are hours of reading required to even begin to understand all of the different races and their history and goals. You can also head over to http://1d4chan.org/wiki/Category:Warhammer_40,000 to get a more humorous look at the people and events involved in Warhammer 40,000. Either way, starting with the Imperium of Man is generally recommended, as the universe is typically seen from their perspective.
How about you folks?