Congratulations on venturing in Deathwatch! W40K RPG's can be loads of fun and have huge replay value. The previous posters pretty much covered all bases that newcomers to the game should be aware of.
As you are probably aware, there are several expansion books and getting them can be costly. Once your group is comfortable with the mechanics and played through the Core Rulebook's campaign, and perhaps ones you've made up yourself, you'll inevitably want to expand your gaming sessions. There are really three types of expansion books in the series:
- Additional Rules + Capabilities; and
- Additional NPC Reference Material
If your group likes to pace things quickly and enjoy/anticipate the campaigns much as one watches a recurring series on television, then consider books like The Emperor Protects, The Jericho Reach, The Achilus Assault, Rising Tempest, The Outer Reach, and The Emperor's Chosen.
If it's the nitty-gritty things that Space Marines can DO that interests your group, or even just creating characters from other First Founding Chapters, subsequent Foundings, as well as completely custom Chapters, or even using vehicles, then consider books such as The First Founding, Honour the Chapter, and Rites of Battle. While the number of pre-made campaigns available to you would be minimal, the books in this category are meant for taking campaigns much more slowly as you add more "realism" and depth to the gaming sessions. You can have a lot of fun with Rites of Battle just creating your own Chapters as a group for one or two of your gaming sessions.
NPC reference material is covered by Mark of the Xenos. This is really more for the GM and just gives you lots of NPC characters for you to use in the campaigns. This is a good source if you rely more on creating your own campaigns than the pre-made ones available.
From the Deathwatch series, there's one book that's kind of a combination of the first two categories: Ark of Lost Souls. Essentially, it's a campaign on a Space Hulk, but also contains rules for generating your own Space Hulks. If you're into Space Hulks - then this is it.
If you really, really like creating your own missions, then one book I would highly recommend is actually not from Deathwatch, but Rogue Trader. It's called Stars of Inequity. This book is essentially your planet / solar system generator. Now, yes, it is for the Koronus Expanse and Deathwatch is in the Jericho Reach. Nonetheless, the book can still be highly applicable. Which leads into another avenue you can explore: using elements of the Rogue Trader Rulebook for space ships, allowing your Deathwatch to take to the stars.
The W40K RPG system has so much potential in so many ways that your group will greatly benefit down the road if you decide early on what kind of gaming style is preferred so as to always keep your gaming sessions fun.