My hands-on with both singleplayer and co-op reveals a super soldier power fantasy with an excellent understand of what makes Games Workshop's storied setting tick.
A Warhammer 40,000 space marine is not just your usual sci-fi super soldier. They are hulking behemoths, 10 feet tall (and about 10 feet wide too). They don't move like people, they move like freight trains. They have the physical bearing of an industrial freezer unit and the emotional intelligence of a crocodile. They do not retreat and they do not surrender, and their 9-to-5 is fighting the worst things you can possibly imagine over and over in a completely futile forever-war.
There isn't much to know about the series other than the main guy got accused of heresy and has to work his way back up the chain. They'll probably explain that at the beginning of the game as a lore dump. As for Warhammer 40k - everything sucks, humanity was meant for great things but weren't prepared for what was out in the galaxy and beyond. A civil war happened, turned out that demons are real and they don't like the ruler of humanity that much (who basically rivals their power). Dude got stabbed, is now in a huge immovable wheelchair that supports his body, but still tries to save humanity.
That all happened 10k years ago and everything sucks even more. There is no technological improvement - tech is barely maintained by a bunch of ritualistic fanatics that don't know why it works or doesn't, they just burn a bunch of incense, pray to it a lot and press control alt delete because it's all part of the ritual. Humanity fights like 15 evil factions at all times, but humanity is evil too. Space marines would be great to fight the wars if there was enough of them for it - there is basically a couple thousand marines for millions of worlds.
Emphasis on this. We humans have become Xenophobic Christofascists* turned up to 11. All aliens are bad** and anything against established doctrine is heresy of the highest order. Human labour is essentially free vs the gross expense of materiel so the leadership will think nothing of having entire generations of a planet mine out some toxic substance that kills before you age much past the ability to outbreed it.
In short, anyone who claims humans are the good guys, is misguided at best.
*EmperorFascists as the ruler is the Immortal God Emperor.
** Officially, but there exists means and people who can deal a little more diplomatically than with a gun.
I would recommend playing the first game (it's good, though it is showing some age). Apart from that: no, you don't really need to know the lore to follow along. And the comments in this thread have given more than enough background to follow it.
That being said, if you're interested in the lore I've been listening to a podcast called "Laying Down the Lore Warhammer 40k". I found it entertaining and informative