I get that feeling when it comes to comics since their are a lot of reboots and stories in alternative universes and resets and stuff like this. I tried to get a better grip on Batman during the last days. The comics recommended where great but diving deeper has become very difficult since I just can't figure out what is canon and what isn't.

Getting into Warhammer is a lot easier in my opinion (don't get me wrong, it can still be daunting without proper guidance). Most Warhammer book series are contained in their own. You don't need to know the entire universe to understand the Eisenhorn books or Gaunt's Ghosts or Ciaphis Cain. Knowing more about the universe might give you a broader understanding but it's not required to fully enjoy them at all. The biggest hurdle is deciding on where to start. There are a lot of good starting points. Picking your first novel is pretty much depending on what you like.