I am sorry if this is not news or helpful to everyone else, but I did not come into DH with any history of the Warhammer 40K verse. We were big fans of the fantasy game and thought that Dark Heresy's concept rocked and now here we are (it's like space Call of Cthulhu on major steroids).
So I was at a used book store the other day and they had two mint copies of the 2004 printing of Warhammer 40K (war game) for $8 each and I thought what the hell, I'll buy both and give one to my GM (who runs DH). It sure had lots of pretty pictures at least and why not have the game that influenced the rpg?
It turns out that the history section of the book is VERY FREAK'N informative to this universe (there is a lot of stuff that is not in Dark Heresy's core book). I am not sure how much is different in the new edition of the war game (other than the cover), but if I highly recommend getting a copy for this stuff. It is a good book.