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)