I have played quite a few systems, including Warhammer 2e, D&D 3.5 and 4e with Eberron as a favorite setting). I have not played Warhammer 3e, but I have read it over.
The 3e books give a fair amount of information on the world background. You could find out more by picking up some of the 2e books for flavor. I found the 2e books fun to read, and they definitely give you a feel for the flavor of the world. As has been mentioned, adventurers in 3e will generally start out more accomplished than those in 2e, and there are fewer long term effects from injuries and insanity. The 3e game does have some inherent assumptions built into the system, such as how magic works, but you should be able to use the system for a different fantasy setting if you wanted to, possibly with a little tweaking.
Warhammer is a dark fantasy game. There are seldom clearly defined lines between good and evil, and Chaos is a corrupting influence throughout the world.
Chaos is personified by four gods, each of whom has their own area that they focus on (Khorne for war, Tzeentch for magic/change, Slaanesh for pleasure/lust, and Nurgle for disease). The Chaos gods are generally adversaries each of which is out for itself, and seldom cooperate. Khorne in particular views using spells as a sign of weakness, and as such does not grant spells to followers, but instead makes his followers very physically powerful and resistant to magic. The Chaos gods do not normally involve themselves in any day to day affairs. Most of the real work is done by those that serve them in the hopes of doing something that will please the god.
Magic is an inherently dangerous thing, as arcane magic basically consists of running raw chaos through your body and using very specific gestures/words/etc. to try to enforce your will upon it. Divine magic is safer, but still has risks. The Colleges of Wizardry were founded as part of a war effort, and magic is still somewhat limited in this respect. Although the Colleges do have some non-combat applications of magic, their main purpose from the Empire's perspective is as a means to combat the hordes and magic users of Chaos.
It is noteworthy that magic is strongest near the poles, which is also where the Chaos gods have their strongest influence. Beyond the realms of civilization lie the Chaos Wastes, an area in which mutation runs rampant and demons walk. The land itself is warped by the power of Chaos, and inhabited by barbarian tribes that worship the Chaos gods.
The technology level is generally medieval, although there are some areas that are more advanced. Dwarves can create somewhat steampunk style technology such as tanks and dirigibles, and the Empire has been working on similar things. However, these are unique and often unstable items not suitable for mass production. Also, they tend to be very war oriented, and the average peasant lives in a medieval world. Black powder weapons exist, but not advanced firearms.
Monsters exist, but the truly dangerous monsters are the ones that hide in the community. Chaos is incredibly dangerous and being exposed to it can lead to physical and mental corruption. This means that anyone studying Chaos is considered extremely suspect and likely to be burned as a witch. Even academics who start with the best of intentions invariably will end up furthering the cause of Chaos, especially if they try to treat it as simply a natural phenomenom to be studied scientifically. People who try to learn magic outside of the carefully placed strictures of the churches and orders of wizardry are destined to become evil chaos mages. Those within the orders of wizardry are always under constant scrutiny with good reason.
Because knowledge of Chaos is inherently dangerous, most people on the street do not even know the names of the Chaos Gods. They typically refer to them simply as the Dark Gods and preferably not even as that. Most people are purposefully ignorant of anything to do with Chaos and/or magic. People who have experience with such things are generally expected to not discuss it if they can. Most people want to ignore Chaos as much as possible, in the hopes that that will make it go away.
It is also important to note that the sources of protection from Chaos often have their own problems. The Empire has Witchfinders, who have widely varying capabilities, tact, and devotion. Because of how dangerous Chaos is, it is not uncommon to try to destroy it with scorched earth tactics. Political corruption is also rife in the world. There is a huge disparity between the peasants and the nobility. Although the nobility are ostensibly meant to protect the peasants, they often neglect such duties. Decadent nobility are ripe targets for Slaanesh. In addition, peasants will often take matters into their own hands in order to protect their families. Anyone showing a chaos taint is killed, and anyone associated with such taint may be considered tainted themselves (for example, in one campaign a friend was in, a farmer's neighbors killed all his animals and burned his crops because one of his hen's eggs hatched a two-headed chick, a certain sign of chaos).
To compare and contrast it to Eberron:
Both settings have magic and some technological elements.
Both settings have evil cults that lurk beneath the surface.
Both settings strongly support urban adventures and political intrigue.
Both settings have gods who are not directly involved in the world but who do grant their followers power to advance their agenda.
Eberron is a high fantasy setting while Warhammer is a dark fantasy setting.
In Eberron magic is respected, in Warhammer magic is inherently dangerous, feared, and often hated.
In Eberron, magic has reached the level of technology, in Warhammer magic is generally used for combat as it is too unstable for consistent use in other areas.
I hope that helps to give you a bit more information on the style of the setting, and I hope you enjoy running it.
