There's a bit of a learning curve to it, but Space Hulk: Deathwing is a fun Looter Shooter set inside the Olethros, a gigantic dead ship teeming with Genestealers and Tyranids. It's sort of like Borderlands mixed with Diablo. There are some free DLC packs for it as well as a function that lets you replay the game with procedurally-generated missionss for every chapter, so it's always a new experience. They did really well with this one, IMO.

Book-wise, the Caiphas Cain stories by Sandy Mitchell are great starting points. Cain is a hilarious protagonist, an exceptionally-skilled yet world-weary Commissar of the Imperial Guard who does everything he possibly can to be where the fighting is not, yet always winds up in the thick of things through some twist of fate. Cain's actions usually result in him saving the lives of the people under his command while accidentally delivering decisive blows to whatever foe they are facing, so the Guardsmen view him as one of the most heroic leaders of the Imperium, when he sees himself as anything but. Hero of the Imperium is an omnibus collection of the first three novels in the series, with a few short stories thrown in as well. And if you enjoy that, there are something like seven additional novels and another ten or so short stories detailing his exploits.

Death World by Steve Lyons is another enjoyable Imperial Guard novel, very much in the vein of the first Predator film, where you have a group of highly-trained badasses going up against a colony of Orks who have set up shop on an incredibly dangerous planet.

The Book of Martyrs is an Adepta Sororitas omnibus that you'll probably enjoy too, since you liked the comic so much.