The Lexicanum and the Wikia are the best sources I've found. You should have most of your questions answered there. There are many specifics within the fiction that may be difficult to find but most of that won't be relevant to the LCG.
Often the question asked is "what novel(s) should I read to become familiar with the setting?" The problem with answering this question is that every single novel and series covers a small part of the setting as a whole. No matter which book you read you will learn at best a siloed portion of it all. I've read an embarrassingly large amount of 40K & 30K fiction and I know next to nothing about the Tau, Necron, Eldar, Ork's and many others. Regardless, I'll try to answer the question. Everyone has their favorites and I can't say there's one "best" entry point. That said, if you put a gun to my head I'd say read The Founding by Dan Abnett. It provides a good entry point to the 40K universe mostly because it shows it to you from the perspective of an Imperial Guard (IG) regiment, i.e. a grunt. The IG is one of the factions in the LCG so it should at least show you what that's like. The series is fun as hell, keeping in mind that like most gaming fiction it's pulp popcorn fun.
I'm also a big fan of the Eisenhorn/Ravenor Inquisitor series but that won't have any relevance to the LCG. If you are thinking of playing Dark Heresy however, it's perfect.
If you want to learn about Space Marines (SM) you first have to understand that there are countless chapters (once upon a time called Legions). The SM that appear in the LCG are the UItramarines. In the past they've received a bad rap for being boring and one dimensional especially when compared against some of their brother legions like say the Space Wolves. Dan Abnett has made the UItramarines more interesting in a recent novel but telling a new comer to read Know No Fear would be counterproductive seeing how it's one book in a very long and ongoing series about a little something called the Horus Heresy.
I could go on and on but allow me to make one suggestion. If you are completely new to the setting and play video games, give Space Marine the video game, a try. It has Ultramarines, Imperial Guard, Orks and Chaos factions represented. That and it's one of the funnest games I've played in years (this coming from someone who doesn't play all that many video games). In about 8 hours of pulse pounding, adrenaline fueled game time, you will understand what it's like to be an Ultramarine.
Feel free to ask questions. I'm a bit of a lore fanatic but not an expert.