Warhammer 40k is a strategy battle game set in the 41st millennium! It is done by Games Workshop. There are lots of armies. I play with the Space Marines, because they are men with very powerful weapons!
It is very complex and the battles are quite long. When playing you will need dice, lots of dice. Every weapon needs some dice! When battling you can have two or more armies.
I like Warhammer 40K because you get to do huge battles! If you were just starting out then I would recommend Dark Vengeance or Assault on Black Reach, because they have every thing you need to start out. Or you could just buy an army, and play with somebody who has a codex.
There is a monthly magazine called White Dwarf that informs you about new models and what events are going on, like when the next white dwarf is coming out and even battles with the new models.