WH40K is a really cool universe especially if you like Xenophobic Stalinistic governments mixed with over the top Sci-FI action. The universe itself is as expansive as Star wars which is saying something. The best place to get a good idea would be either wikipedia or some of the books that the black library produces. and yes the expansion is going to have all the factions ins ingle player but only the new factions for multiplayer but you can get all the games off steam for $30 or about the same price at the store with the platinum package. To explain the entire armies and all their reasons for fighting woudl take forever the best way to start that i know of is to look up the emperor of mankind on wikipedia and progress from there, it pretty much gives youa good idea of why the imperium is trying to fight and that is about 4-5 factions right there.

As for a starting book I would say the Dawn of war series because it relates directly to the events in the games. but no doubt there are others its really a matter of which side you want to hear about the most but unfortunately for some people most books are about space marines.