Hmmm. In brief:
1) bugs on murder - no, not a playable faction. They are only mentioned in that book.
2) daemons - yes, absolutely a playable faction. Chaos is a major defining characteristic of the 40k (and 30k) universe.
3) more advanced humans - no, not playable. By the 41st millennium all humanity has either been subsumed into the Imperium of Man, or declared heretics and purged. The Imperium is extremely xenophobic and in many ways is actually far worse than the "bad guys" in 40k.
I think it's very interesting to see how a complete newcomer approaches this game. As I mentioned, I started playing during 1st edition warhammer 40k, which was about 20 years ago. (We're now on 6th ed.) Because of that I've been able to absorb the various histories and stories of the various factions somewhat organically. For a complete newcomer, I can only imagine that it must be quite overwhelming. To give a little context, the Horus Heresy is basically a spin off from 40k. It's been part of the fluff (=background material) for a long time, but it's only in recent years that its been properly fleshed out. Those 30books or so you mentioned are a small spin off of the 40k game.
Ill let you absorb that for a moment
Ok, now don't panic. You simply don't need to know the whole 20 years worth of history of 40k to start painting (or playing.) I think what you do need to do is spend a few days (weeks? Months? It's up to you) reading some or all of the following:
Free
1) Lexicanum online.
2) Games Workshop's home page (for a complete look at all the factions available)
3) errr. Legally questionable, but if you're familiar with torrents, a quick search for "Warhammer 40k Codex" will find you a very large amount of reading matter indeed.
Costs money (but worth it, imo)
1) The Warhammer 40k rulebook (this book is maybe 25% rules, 75% background and hobby stuff)
2) Forge World's Horus Heresy book. (I don't own this, but those who do all claim its worth the money. Still seems bloody expensive to me, but hey ho...)
3) The various 40k codexes. These are faction-specific rule books with roughly the same proportion of rules:background as the main 40k rulebook.
Finally, I feel morally obliged to point out that Games Workshop is geared entirely towards separating you from your money. Their stuff is gorram expensive. 40k is not the best ruleset out there, though it is the most popular. It does, however, have superb background. No other game universe comes close, in my opinion. It's basically too big to properly describe. If I had to pick one word, it'd be "infinite".
Aesthetically, GW minis have come on hugely on recent years. Their new plastics are superb. Their new finecast is...hmmm. I'll be polite and say "very bad" and leave it at that. Forge World, otoh, is extremely good across the board, and is also very expensive. There are other games made by other companies that have equally (some might say better) sculpted minis, but for me 40k (and by extension 30k) is unrivaled in terms of background and depth.
*edit* dear lor', talk about yer wall o text. Sorry. Got a bit carried away there...