Welcome to the fandom! I, too, was in your place a year or two ago. WK is prolly one of the most 'famous' fandoms, but it's also definitely one that is... aging? (It happens to them all, of course.)
A started by reading a fanfic by an author whose stuff I already liked (they wrote my favorite evar Fayt/Albel fic). Man, did that story confuse me! I did a few google searches, etc, trying to figure out who the hell these guys were, and I finally stumbled across hopeforlorn.net, which made everything clear. *enlightened music*
Kapitel (Knight Hunters) is the first anime series. If you've watched Sailor Moon or any other anime from that time period, you'll understand that the animation is iffy at the best of times (downright laughable at others!). More plotholes, monster of the days, and cheesy one-liners then you can shake a stick at (ala Sailor Moon), but pretty entertaining overall. It's also main event in terms of fandom, so there are many fics that you might 'get' but not ~get~ without watching it.
Gluhen is the other, second anime series, taking place a few years later. Animation more a la Noir, but not really to my taste. Also, there was a legal issue with the character designer, so everyone looks different. (but recognizable, mostly) It's pretty good, but depressing as hell. Everyone dies and your all doomed so just give up.
Of course, there's some drama CDs (which everyone ignores 'cause they're really WTF material) and the manga (Assassin and W.S. is basically Kapitel, Side B follows Gluhen) and the OAV, which pretty much rocks.
I've never read Sinners and Saints myself, but my fic recs (all on fanfiction.net) are... __poco-poco's Farfarello arc (focuses on Schwarz, the baddies) __Ninjagrrl's Endtimes (Farf and Ken-centric) and Einigkeit Macht Stark (humor piece starring everybody!) __twinsais's Through a Glass Darkly (hasn't been updated in a few years, but gorgeous Ken/Farf) __Arakhne's Full of Grace (Farfarello one-shot) __GuiltyRed's Coming Home (Schwarz-centric, has a Weiss-centric side story) __The Weaver Atropos's In Fear Of (Aya/Ken) __Marty1's The Sweet Hell We Shared (one of the first I read, Aya/Ken, AU)