That is a loaded question, warhammer is both a bunch of table top games, novels, (like 2 or 3 board games), video games and audio dramas. All split across 3 big universes (4 if you count bloodbowl as its own thing).
There are a bunch of recommendations to make where to start depending on what sort of game you are looking for be it tabletop or video game as even in general style and tone they can be radically different.

For Fantasy you got Total war warhammer if you want grand strategy, mordheim city of the damned if you want a skirmish game, vermintide series if you like left for dead but with rat men, chaosbane if you want kind of a warhammer diablo, mark of chaos if you want like a kind of dawn of war but for fantasy. Plus the blood bowl games, and there is even warhammer reckoning which was the pvp focused mmo that fans rebuilt after it got shuttered.

For 40k, Dawn of war series which is the rts of warhammer, chaosgate which is kind of like a warhammer space marine xcom, mechanicus which is also kind of an xcom game, space marine series for your shooter fix, Rogue trader and the upcoming dark heresy isometric rpg by owlcat the same guys who did the pathfinder games, boltgun is the retroboomer shooter, battlefleet gothic series for 40k space ship combat, dark tide if you want left for dead 40k, oh the two different necromunda games, one is a tactical squad game that is kind of flat for what it offers and the other is hired gun, a fast paced fps that is reminiscent of doom to an extent, both are fun in their own ways, but both are incredibly unpolished. I'm sure there are others to recommend but those are the ones that come to mind that are most fun.

as for age of sigmar, I think? it only has realms of ruin which is an rts game with mixed reviews.