I don't read much... dyslexia and ADD have formed an unholy alliance to keep me from enjoying books. That said, I've heard no end of good things about the Gotrek and Felix series. Also, my friends that DO read claim that anything by Dan Abnett is pure gold.
As a little background on the differences of Warhammer Fantasy and Warhammer 40k, though:
Warhammer 40k occurs in the 39th millineum (40,000 AD) during the Dark Age of Technology. The Imperium of Man spans thousands of worlds across the galaxy, and has numerous enemies arrayed against it (Eldar, Chaos, Tau, Tyranids, Necrons, Orks... lots of badguys) not to mention an untold number of disloyal elements within it. The Imperium is ruled over in name by the Emperor, who was slain (mostly dead) by his "son" (actually a clone, one of the Primarchs from which all Space Marines were later cloned) Horus, during the Horus Heresy in ~30,000 AD. For the last 10 thousand years, the Emperor has been on life support on the Golden Throne on Terra (Earth... the Golden Throne is actually situated in Nottingham, England, which is where the Games Workshop headquarters is in RL). The High Lords of Terra have ruled in his proxy since he fell to Horus' hand. The Emperor's "death" was a mutual one though, in that the Emperor focused his vast psychic energies to utterly annihilate Horus, in both body and soul as Horus struck the killing blow.
The Imperium itself has several different types of worlds. Hive worlds are planet-wide cities (like Coruscant in Star Wars, only there are hundreds of them in the Imperium). Agri-worlds are basically planet-wide farms. Forge-worlds are planet-wide factories. Death-worlds are planets whose flora, fauna, and environment are generally deadly to humans (for instance, Tatooine would be a death world... barely habitable, and filled with all sorts of deadly creatures like the Sarlacc and Krayt Dragons). Lastly, there are Feral worlds, worlds which are habitable, but which are so far from the center of the Imperium that their level of technology has been reduced to a medieval or barely industrial state.
The Warhammer Fantasy world is believed (in the 40k universe, at least) to be one of these Feral Worlds that has been completely cut off from the Imperium. There are several "lost" chapters of Space Marines, whose primarchs were never found, and it's possible that Sigmar was one of those Primarchs (especially considering he left no heirs, as Space Marines have been severely genetically altered, and cannot reproduce as a result). It is further speculated that the Warhammer Fantasy world is inside a large tear in the fabric of reality... a "Warp Storm" that creates a hole between real space and the realm of Chaos (or "The Warp"). One massive example of these Warp Storms, and the oft quoted "location" of the Warhammer world, is the Eye of Terror, occupying the center of the Galaxy.
This meshes well with the Warhammer universe, where long ago, the Old Ones arrived on the planet to terraform it and seed it with life. The Old Ones exist in both Warhammer and Warhammer 40k lore, though only the Elves and the Slann know of the Old Ones' existance in Warhammer lore. In 40k Lore, however, they're responsible for creating the Slann (who appear in the texts, but have no army representation), the Eldar, the Demiurge (space dwarfs, different from Squats, which are just mutated humans that have become dwarfs over thousands of years), and quite possibly, the Tau. They created many of these races to fight against the Necrons: a race of people who have given up their frail bodies and had their conciousnesses trapped inside machine bodies, and now seek to wipe out all life in the universe, as they consider "life" to be a mistake.
In Warhammer lore, the Old Ones had to leave because of Chaos, the unwitting side effect of giving Elves (Eldar) too much psychic/magical power, and the Elves allowing their emotions to seep into their magic, creating the Warp. Eventually, it was the Elves who sealed the Warhammer world off from the growing threat of Chaos around them... this kind of hints that the Elves and Eldar are not entirely similar, as most of the Eldar were killed instantaneously when the Eye of Terror was created, due to the birth of the Chaos god Slaanesh. The Elves did not suffer that fate, and managed to seal off the Warhammer World from the encroaching warp energy being released through the rifts created by that event... but only temporarily. According to the Slann, the seals on the Chaos Gates are weakening severely, so the Slann are trying to devise a way to permanently seal off the Warhammer world... so far, that plan involves some sort of large-scale euginics program, with the world sectioned off into "areas" for the various races, to keep the races from co-mingling. Not really sure how that's supposed to help, but they're lizards, so they were probably too busy sunning themselves to think it out fully.
Anyway, as you can see by the number of books in the store, I could probably go on for years. Warhammer 40k is 22 years old, and Warhammer Fantasy is 26 years old, so there's a *lot* of story behind them. Games Workshop doesn't really advance the storyline often... rather they continually expand it, adding more things that are going on in the loosely defined "current" setting. As a result, you can pick a particular aspect of Warhammer that you like (witch hunters, for instance) and read for days straight about them if you can track down all the sources of lore.
