For the novels, Black Library do a number of omnibus editions and short story anthologies, and they would be a good place to dip your toe. Head over to the Black Library website: http://www.blacklibrary.com/Getting-Started/New-Reader.html

For the games, your best bet is to find a local Games Workshop or independent store where the staff can run you through an introductory game or two to see if you fancy getting involved.