The PDF version of the original Rogue Trader is quite easy to find, and will give you a strong understanding how much the Warhammer 40,000 universe has developed/changed. The RPG-skirmish game Inquisitor was also packed with background material (as well as being a really cool idea that I am pretty sure was part of the inspiration for Dark Heresy).
The Retconning can be good and bad. Good because you gain cool ideas like the Tau and Necrons, but bad because they redesign entire ranges of figures and drop races (ie the Squats vanishing). However, much of the retconning is not so much creative decisions, but external (ie financial/logistical) factors.