As someone who doesn't know much about Warhammer 40k, I love seeing all these little lore drops here and there. The characters and worlds seem so fucking cool.
Usually I recommend the Eisenhorn books as a great entry into the universe. Imagine Sherlock Holmes in space, but it's like Arthur Conan Doyle was a fan of Blade Runner, Exorcist, and Dune as well. I personally got hooked on the art first, and 40k Gallery is amazing for that.
Now to answer your actual question: it's hard to pick a coolest, but definitely in the top tier for me is Sanguinius. He's a demigod nearly unbeatable in war who nevertheless ends up being one of 40k's greatest tragedies. And his art is AMAZING.
Usually I recommend the Eisenhorn books as a great entry into the universe. Imagine Sherlock Holmes in space, but it's like Arthur Conan Doyle was a fan of Blade Runner, Exorcist, and Dune as well. I personally got hooked on the art first, and 40k Gallery is really good for browsing art from tons of artists.
Fabius Bile, Ciaphias Cain, Roboutte Guilleman, the God-Emperor of Mankind.
Fabius Bile, (known to fans as Fabulous Bill), is the maddest of mad scientists, harnessing the power of otherworldly demon magic to do fucked up megascience. That's pretty normal for Chaos-worshipping loonies, though - where he gets exceptional is that he absolutely denies ALL the chaos gods as just very strange and powerful natural phenomena that can be understood and manipulated, despite the fact that getting a glimpse of a glimpse of one literally killed him (it's okay, he got better).
CIAPHIAS CAIN, HERO OF THE IMPERIUM (title and all-caps demanded) is a Commissar, a brutal political officer whose job is to shoot soldiers who run away. These soldiers, of course, are the little human grunts with no superpowers up against reality-destroying monsters and genetic supersoldiers. The thing is, CIAPHIAS CAIN, HERO OF THE IMPERIUM is secretly a complete coward who constantly is trying to save his own skin and get out of danger - ie the exact kind of person he is supposed to shoot. In the process, he always accidentally comes out looking like an incredibly brave hero (in his first story, he tries to run away from an alien attack, and accidentally reveals that the aliens were also coming up from behind, saving everyone from being surrounded and eaten). He's also an okay guy at heart, but will never admit it.
Roboutte Guilleman, whose fan-names are infinite (Rawbutt Girlyman, Robot Gorillaman, Papa Blueberry), is the 10,000 year old leader/genetic donor to one of the more prominent human-supersoldier factions, the Ultramarines. Recently awoken from a long nap, he has found out that the Imperium he fought for, an empire founded on reason and anti-religion, has turned to fanatically worshipping his super-atheist dad, the Emperor of Mankind, while he was asleep. Finding out that the One Thing He Didn't Want To Happen happened while he was asleep, he's thrown himself into filling out paperwork (his favorite pastime) in an effort to unfuck this new, superstition-ridden society he's trapped in. He's probably not going to succeed, but we love him anyway.
The God-Emperor of Mankind AKA 'Big E', was a great crusading super-atheist 10,000 years before Warhammer 40k takes place. The primary human faction follows him with absolute unquestioning devotion. The thing is, 10,000 years ago he got a bad case of 'mostly-dead', and has spent said 10,000 years on life support (but on a throne, so you remember he's an EMPEROR), unable to communicate with anyone. Naturally, since he tried to implement super-atheism, the empire he founded decided to worship him as a god. He is presumably not chuffed about this, but there's not much he can do to communicate his displeasure. He's also a terrible dad to his superpowered sons (like Roboutte above).
40k Orks are one of the best fictional races ever. They're a genetically engineered fungus-animal hybrid whose spores can develop into any number of different species, from standard Ork Boyz to smaller Gretchin and Snotlings and even useful beasts like oil-squigs and bomb-squigs, making them a closed ecosystem that can indefinitely infest anywhere.
They're driven by the simple notion that bigger is better, so the biggest Ork around is da Boss.
They believe red vehicles go faster. So they paint their fastest vehicles red, which confirms their suspicion. Then, the red ones actually do go faster, somehow.
They use their teef as currency. Teef decay over time so its impossible to hoard wealth, making Ork society remarkably equal.
They also perfected - and weaponized - teleportation technology.
"Evil spacemagic demon-summoners fight evil totalitarian supercatholics. There are space-elves and space-orks. The aliens are immortal robots or borg-locusts. Everyone is roided up on grim spacefuture drugs. It's ace, I highly recommend it."
I didn't read it like that personally, though I could be wrong. I read it more as poking fun at GeeDub's tendency to constantly change the lore. Very Tzeentchian!
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