Were do I start?! It’s such a big, cool, dark, amazing, scary, world that I don’t know where to begin, perhaps I should do so at the beginning, ah, but the chronological beginning, or how most people begin, at the beginning of the end, that is to say the present. I think I’ll do that.
Humanity, twenty thousand years ago, conquered the starts. Ten thousand years ago they formed the Imperium of Man, under the guidance of their ruler, a man they worshipped (though against his will) as a god, their Diving, Immortal, and Just, God-Emperor.
But now that Emperor is entombed in the Golden Throne, he is kept alive by this machine of techno-magic, and he is feed hundreds of pykers (think magicians, only in the future) daily.
This empire is not like our world today, it is a regime of brutality and bloodthirstiness. Millions die each and day just to defend its borders and even this sacrifice is not enough, every day, planets fall to our (mankind’s) enemies.
It is a time of fear, suspicion and zealous faith. Those that would say the Emperor is just a man are burned at the stake; those that are suspected of being lax in their faith are killed as an example to others.
But this extremism is not without warrant. Mankind is fighting a war it cannot win, a war that most do not even know of, for if they did, the realization would drive them made.
Man is fighting a war against Chaos. Chaos is a force that has forever invaded our society, a force that has torn our governments asunder and to this day fights to defeat us.
Chaos had a name; it is called the Ruinous Powers. Chaos has four leaders; they are the Chaos Gods, creatures of unimaginable power. These creatures, and their minions spawned by the thoughts and souls of mankind (along with other alien races), are know as daemons (the archaic spelling used here gives the Imperium a more backwards feel… medieval, if you will).
These creatures are the bane of humanity, if we are not careful they will consume us all. One moment of laxity can result in an entirety of damnation, and I’m not joking either. That is why the Imperium is so harsh.
Of course this is only the beginning of the story, but I think it gives a pretty good idea of what 40k, for humans at least (lots of alien races) is like. If you want more info, search Warhammer 40k on wikipedia.