Dark Heresy - Inquisition, its the oldest one so its a little unrefined. I would suggest getting some of the other later books (OW and BC specifically) just for more streamlined rules updates. It tends to be pretty brutal, you go in because you heard about some heresy or xenos or something and because you are kinda weak and chumpy at the beginning getting hit once or twice is probably going to kill you and you are probably not going to be very good at things. It tends to run well as episodic missions but can also do well as a long campaign. Great for mysteries. I personally am not a huge fan because I like the other games more. Set in the Calixis Sector.

Deathwatch - Space Marines. Very focused on squad/tactical combat. I am also not a huge fan because Space Marines are simply super human and tend to be weird to roleplay and I tend to prefer more hand-wavey abstracted combat. I don't have a ton of experience with it honestly but I also find Space Marines the least interesting thing going on in the WH40k cannon. It feels like a higher powered version of Dark Heresy. Set in the Jericho Reach.

Rogue Trader - Space privateers/explorers/merchants/pirates. You take the role of a Rogue Trader and his command staff. Its somewhere between Firefly and Star Trek, but grim and dark. You possess a Warrant of Trade that empowers you to cautiously treat with xenos and previously lost(probably slightly heretical at this point) humans and you start with a huge space ship with tens of thousands of crew members. The ship is built at character creation similar to building your characters. Rogue Trader gives you a lot of freedom to play the dashing adventurer out to find lost artifacts and trouble; the conquistador setting out to spread the faith and deliver the Emperors Mercy to his enemies; the shrewd business man embroiled in trade wars and political intrigue; or the loathsome pirate abusing your power and the Imperial Creed for your own gain. You start fairly powerful both physically and socially, enough you can have fairly grandiose ambitions. If you are doing campaign play I would suggest forcing someone to be the Rogue Trader otherwise you have some DMPC calling the shots. You can totally play as a Xeno in this also. There are rules for playing as a sanctioned Kroot, Ork, Tau, or Eldar. Set in the Koronus Expanse, basically a wild west frontier technically outside imperial law (and home to the Undred-Undred Teef). Really flexible setting.

Black Crusade - Chaos! You get to play as a legit horrible chaos worshiping heretic or a Traitor Space Marine. I love it because you get to be the villains and explore life as a mortal enemy of the Imperium. However without some house-rules to beef humans up/ nerf Space Marines or the dedication to really tailor challenges/encounters to bring out the skills of all party members equally I would not recommend a mixed party. Space Marines can be stupid powerful compared to humans, especially in combat. I had a Thousand Son Sorcerer who could consistently dish out 40+ dmg per hit,was basically unkillable, and was able to psychically combat the Lord of Change possessing him and exorcise himself. We had to retire him to an NPC midway through the campaign because he was just at a different power level than the rest of the party who were all human heretics. Black Crusade has a really neat leveling system based on which Chaos God you worship and are aspected to. Set in the Screaming Vortex, which is a really fucked up and totally metal sector.

Only War - Space Vietnam - You are a squad of guardsmen. Think Aliens meets Starship Troopers meets Apocalypse Now. You are meat for the grinder, much like in Dark Heresy. Its got a neat system that lets you build your specific squad (like the ship in Rogue Trader) that helps define who your party is and what they do, mechanically and flavorfully. Are you poorly disciplined conscripts just looking for a way to do your time and survive or are you fanatics like the Death Korps ready to charge head first into a Waaaaaghhhh. Really fun as episodic or campaign play.

All of the rules are fairly slick: There is not a ton of crunch or skill bloat (but enough to satisfy the compulsive munchkins) and everything is a d100 under a stat (+ modifiers). Combat can get a little clunky, especially if you have some characters twinked for combat and some not as much. I love the 40k universe, its a wonderful blend of grim, dark, and zany and really lets you explore the horror or the goofiness as much as you want. I would recommend reading up on the setting, taking some time to read through each of the books, and sitting down to talk with the people you are going to be playing with to figure out which one sounds the most appealing. I personally love Rogue Trader and Black Crusade the most, but Only War is also super fun. They are all fairly compatible with one another so you can borrow things (equipment/talent/etc) and they generally provide conversion rules. My usual group has played enough campaigns in 40k that we have a fairly interconnected meta plot and can call in old PCs as NPCs. Old Rogue Traders make great NPCs in OW/DH or other RT games.