Super brief:
Warhammer 40k is basically a sandbox universe, spanning the entire galaxy and set 40,000 years into the future. Stories are told in multiple years and locations. The lore is all designed to form a backdrop to the game, and is all about war. It's all a bit grim and dark, and everything is awful all of the time. It's completely over the top, and fucking brilliant. Draws from the same traditions as 2000AD and Judge Dredd. It's very British.
Main faction is The Imperium Of Man - a fascist regime of humanity that worships a god emperor, and has an army of space marines, who are idiotically over powered. But then so are all the alien enemies they face - called Xenos, collectively. Oh, and then there's hell, which is full of daemons - and is called The Warp (where Event Horizon got its inspiration from).
You're right about the scale. It dwarves absolutely every other fantasy or sci-fi universe there is.
I played the game about twenty five years ago, but now all I do is read the books, and play the video games.
This is the main 40k guy on Youtube, and here's his sum up of the whole thing, which will tell you more: