This post will keep getting updated as required. Message me if I have missed anything.

In my opinion the best "how to play" for new players currently is this one

Core Game

Core Rules

Rules Commentary

Space Marines

• Space Marines

• Blood Angels

• Dark Angels

• Space Wolves

• Black Templar

• Deathwatch

Armies of the Imperium

• Grey Knights

• Astra Militarum

• Adepta Sororitas

• Adeptus Custodes

• Adeptus Mechanicus

• Imperial Knights

• Imperial Agents

Armies of Chaos

• Chaos Space Marines

• Chaos Daemons

• Death Guard

• Thousand Sons

• World Eaters

• Chaos Knights

Xenos Armies

• T'au Empire

• Aeldari

• Drukhari

• Necrons

• Genestealer Cults

• Orks

• Leagues of Votann

• Tyranid

Other Useful Bits

• Points Cost

• Wahapedia (Very good all round source for everything 40k related)