If you guys want to discuss the lore of Warhammer 40000, we have a thread dedicated to that - *geek.digit.in/community/threads/warhammer-40000-discussion.154886/
Strategy games are not my cup of tea, never tried it. I will check the single player story mode versions though.
I actually got into Warhammer 40000 from Dawn of War series. When I played as the Space Marines in Dark Crusade, I almost immediately found them fascinating. They are post-human super-soldiers who have a very monk-like culture and a strong sense of fraternity among them. Plus, the impression I got was that there is more to the lore than presented in the game. So, I went down the rabbit hole and discovered more lore: The Emperor of Mankind, the Imperium, Psykers, Xenos, Chaos, etc.
The Adeptus Astartes (commonly called as Space Marines) were especially fascinating. They are said to be stronger and faster than regular humans by orders of magnitude. I wanted to see what it would be like to see one in action, close-up. And in 2008 Relic announced Warhammer 4000 Space Marine and that debut trailer (the one I posted above) blew my mind to actually see a Space Marine in combat. That just made me a bigger fan of them.