The same reason people reread books, rewatch movies/tv shows or go back to a nice restaurant/bar they’ve been to before:

You enjoyed it once so you go back to enjoy it a second time.

For 40k games Dawn of War 1 + 2 and their expansions, Mechanicus, Boltgun, Space Marine, Battlefleet Gothic 1 + 2, Inquisitor, Chaos Gate and Hired Gun are all decent.

Space Marine II is coming out next year and there’s A 40K CRPG called Rogue Trader that’s coming out in a few days.

If you want lore videos then Arch, Majorkill and Luetin09 and are all good channels.

You can also read the 40k wiki. I haven’t read any of the novels so I can’t help you there. There are tons of them though and apparently they can be a bit of a mixed bag in terms of quality.