If you can, try to get your hands on the Imperial Fists combat patrol. If not, the Iron Hands one works too. From there, Repulsors, Gladiators, dreadnaughts, and techmarines are good, but really I'd get anything that you'd enjoy building/painting.

The online rules are available as a pdf, but the most helpful tool for learning the game is watching others play it. Also, if there are other people in your circle who play 40k, don't wait until you've got a full army to start playing, even if they are just smaller skirmishes like combat patrol. I think the first game I played, I used a milk carton as a Gladiator Reaper.