... Also, can anyone recommend a good first book to read to get me into the lore(played the pc games, but still feel like I am missing a lot? ...
Since the Black Library has tons of books, I would suggest picking a book that features your "favourite" race. Since you are starting out, Imperial Guard and Space Marines novels would be a good start. Most of the Library is about Space Marines and Guardsmen. And Inquisitors. The human perspective. Even a few chaos ones. So, in order to give you a few starter:
Space Wolf: Actually, there are 6 stories in total, collected in 2 omnibuses. Written by William King, they follow the initiation of Ragnar Thunderfist, from his humble beginnings to his current position as Wolf Lord. While the Space Wolves aren't your typical chapter of Space Marines, they do make for a great start. Lore is explained gradually and King is capable of gripping you by the throat right from the start. Very engaging characters. You even got a prominent Space Wolf who is more like a dorf from DF than a space marine!
Ultramarines: Also 2 omnibuses by now. Well-written, but less heavy on the lore explaining.
Horus Heresy: 13 books and counting, this is perhaps the best place to start (if you start with book one). All the major events of the greatest defining point in WH40K are explained, as well as several figures that are in the current times no more than myths and revered ancestors of the past. While I'm still slogging (with a smile on my face, mind!) through the whole lot, it is indeed worth it. Every book is written by a different author, most of them veterans of the fiction.
More advanced books. If you know the major keypoints of the fluff (what is a space marine, what is the Horus Heresy, ...), you'll have more fun with these:
Ciaphas Cain: Also several omnibuses (see the pattern here?). Written from the viewpoint of a Commissar, humour plays a big role in these novels. Especially witty at times, you'll be chuckling your way through the novel. At least, I did. It does drop one right in the middle of the lore and you'll scramble a bit to keep up. But once you have a novel or two under your belt, these make for some very entertaining stories. It's not all giggles though and you'll root for the slightly ... odd Commissar Cain.
Storm of Iron: Not an omnibus for a change. This book tells you the viewpoint from The Other Side: Chaos Space Marines. Well, not entirely, but you do feel who the protagonists are. Chaos has its lure and you'll feel its pull as well. You'll even start to like the Iron Warriors. That is, if you can like a big bunch of smart, cold, selfish, cruel and cunning bunch of heretics!
Gaunt's Ghosts: This was my first stop into WH40K. 12 books and counting, this is the longest running serie so far. Abnett is my favourite author and while
Sir Pseudonymous wasn't a huge fan, I do recommend reading one of those. Preferably the first one, since one novel builds upon the other, plotwise.
Titanicus: I don't know how well you know WH40K, but Dawn of War did feature Titans. And when you say titans, you say "Battlemechs a la Warhammer". Huge, lumbering beasts of mass-destruction, this novel is all about the big boys. It also goes deeper into the intrigue of the Adeptus Mechanicus, the fanatical cult of machine-priests.
Double Eagle: If you like airplanes, you'll like Double Eagle. Dogfighting galore!
Execution Hour: A personal favourite of mine. The Imperial Navy, with its battleships and cruisers, fights a desperate battle in the Gothic sector. The Planet Killer is coming and the Imperium rushes to save a doomed planet. But Captian Leonid not only has to face the heretic without, but also the heretic within.
Heroes of the Space Marines: A collection of several short stories, all starring Space Marines. While the quality can vary greatly, on the whole, it is a good book, filled with heroism and tragedy.
Crusade for Armaggedon: This novel actually has 3 major points of view. Imperial guard, Space Marine and some Imperial Navy too!
I'm gonna stop here. The list goes on and on, ofcourse. But, if you want to start with the Lore, first read the Lore blurbs from the Space Marine, Imperial Guard and Chaos Space Marines Codices (especially the first one). Pricey books and useless if you don't intend to actually play the game, the lore that is in those books is still a very large part of their composition. The facts are there. You can also skip that step and go directly into the Horus Heresy serie. You'll learn along the way.
CAUTION! Warhammer 40K is addictive. I started out with WH40K with Dawn of War and quickly bought a Codex and a book. Now I have all the codices from this and the latest edition, a few overflowing bookshelves and to make matters worse, I started reading into the Fantasy branch as well. It is gritty, dark and heroic, but it will eat your wallet, puke it out, eat it again and still will try to take your money. The moment my home burns down, is the moment I will cry many man-tears for my collection.
EDIT: Many, many mistakes in post. Brain too sleepy. Apologies.