I have the
HH game, but I've not played it. Relic looks like fun.
From the perspective of the
RPG's, it depends what you like:
1. If you want Inquisitorial mysteries and investigations, get
DH. Or, wait a while, and get DH2.0 when it comes out. Personally, given the (mostly) backwards compatibility of the
40K RPG lines, having the DH1.0 books wouldn't hurt
plus it's a fully developed line with multiple expansions (and they'll probably
OOP soon, at least in non-digital form).
2. If you want grand sweeping adventure and exploration of an unknown realm, then get Rogue Trader. You have your own ship, thousands of men at your command, and the stars to conquer. Similar to DH1.0, this game has gone through a lot of development so there are quite a few source books available.
3. If you want to curb-stomp everything as the Emperor's Finest, then get Deathwatch. The game is easy - a little too easy really, unless you've got a Killer
GM - and you have to use the errata weapon stats otherwise combat just isn't fun, but if you want to play the role of Big Damn Heroes, Deathwatch is your best bet.
4. If you want to combine the previous three games, but serve Chaos rather than the False Emperor, then put Black Crusade in your shrine to ruin. It's had limited support so far as it's not been out that long and there was a monumental gap between the Core Rulebook's release and the first expansion. Things have flowed on since then, and the 3 God-specific books are loads of fun (and I say that both with and without bias).
5. If you want to fight the Emperor's Wars, but don't want to do it on easy mode, then Only War might be a better choice than Deathwatch. It's the newest game, with only a few supplements to its name (although they are pretty good), and it'll give you a good cross-section of playing Guard regiments and getting into big mission style
rp-ing. Plus the vehicle rules are mega awesome (and I say that with total and overwhelming bias!

).
So see which one looks best to you, and get some books. They're 2/3rds off, which is a major discount.