I've always been intrigued by Warhammer 40k but never really knew how to get into it. What's the best way?
I recommend the Eisenhorn books if you want to get into the lore. It's a good story and covers a lot of ground without expecting a ton of prior knowledge.
If you’re not prepared for the financial and time investment of the table top game there are a quite a few video games set in that universe.
There are multiple legs to The Hobby (tm), the painting and modelling, the game, and the lore.
For me, painting is the fun bit. I find the game broken and totally driven by marketing. Horrible pay-to-win stuff.
Gaming you need people, you gotta get down a shop and say hi. I prefer independents, as they sell other games, but what's available depends on where you are. Even without shops, finding a group isn't that hard, there's an organised one in my very small town. Facebook etc. can help.
For painting, it's easy, just find models you like the look of, the official site can suggest paints, and have a crack. Your first ones won't be great, but it's the progress that's fun. There's an absurd amount of YouTube content. My crew like Cult of Paint.
Lore, I know least about, I find the books unreadable, but the Black Library is vast. The Horus Heresy is the canonical backbone.
A friend actually writes some short stuff on the fantasy side, do him a favour and grab a collection with Jake Ozga.
Good luck.
The barrier of entry is admittedly high for playing the game, but it's tons of fun. You have to pick an army, start collecting models (which aren't cheap), then you have to build them and at least sort of paint them. Honestly the best way is just go on to a local store on they 40k open play night (most have one weekly) and ask around. Folks are extremely kind and generous and will often loan you some models to play against them and try out the game. Some stores even have loaner armies in stock for this purpose.
The "pay to win" feeling is really just in the competitive scene. You can choose to chase the ever-changing meta or just enjoy playing more narrative games.
ps. you can learn the basic mechanics of the game pretty quickly by watching "Battle reports" on youtube. Search for 11th edition specifically as it just came out in June and the rules changed a good bit.