The lore is deep, but it can be summed as as futuristic fantasy. Instead of just goblins, zombies, demons and such in a medieval setting, they gave the goblins, zombies, and demons guns and spaceships.
It's a table top war game where every faction is trying to kill each other with over the top weapons, races, vehicles, and characters. It's grimdark to the point of getting silly, like the humans having a faction that drops churches on enemies filled with battle nuns. It's silly and I love it.
Also there's horrifying stuff like space bugs that eat entire planets and elves that turn you into living furniture as they fuck your family with buzz saws. It goes to a few different extremes in the lore and all that. Orkz are fun, though. They're mushrooms.
The books are generally really good too and the video games... Are a mixed bag. All of them look pleasing. The warhammer fantasy has three total war games, though. I am wishing the Command and Conquer guys make a Warhammer 40K RTS.