Bolt Action is very similar to most other tabletop skimirsh games - you put out your 28mm dudes, you roll dice, you play. It is a pretty easy and great transition from 40k - but there are some key differences in both the gameplay and hobby aspect to keep in mind.
1. Model Basing
In a few of the more established games, you buy models from one company, they come with the bases you need, and they're well defined. In BA it is generally accepted that weapons teams use 60mm bases and regular dudes use 25mm bases, but you can use square bases, circles, lipped, beveled, flat, etc. Some teams like the 88 AT gun I had to make my own base for. Base size isn't nearly as important in the game as in others as there is no scatter... but just be reasonable and ask questions if you're confused.
The other thing is that sometimes models don't come with bases. This sucks if you're a newbie, but you can use any base you want, so freedom, right? If you don't like flat bases you can use beveled bases. There are tons of outlets for purchasing circular bases.
2. Order Dice
It is possible to make your own order dice, or just use tokens, but they're $16 for a pack which isn't bad. You need to mark your orders used for each squad / tank and also provide something to the order bag to be able to choose whose activation it is. Remember, Bolt Action is not IGO UGO - it is a random activation order based on pulling a die from the bag with your color or my color on it. (And it works really well!)
3. Resin Tanks
Many of the tanks that are produced for 28mm are resin. They're super detailed and the hull is usually one heavy piece. Sometimes it means there is extra flash or places to clean up - usually it isn't a big deal. It is just different from 40k where all the tanks are plastic The turrets aren't usually glued on at all so they can traverse.
Warlord Games has recently partnered with Italeri, a very well known and well liked plastic model manufacturer, to begin making 1/56 scale tanks. They recently produced the Panther which looks amazing.
4. No First Turn Alpha Strikes
Planning to blow your opponent off the board on turn one doesn't work out. Many of the missions have a preliminary bombardment where the defender takes pins and it makes it harder to alpha strike. There is also the random activation order that comes into play; you can't just shoot and shoot and shoot with no reprisal.
You might think that it is possible for someone to go on a huge order run, and it is, but often times that person will want to save orders for later in the turn; if you go first that means you have to move first and expose yourself for reprisal.
5. Morale Matters
Suppressing your enemy makes it much harder for them to fight back. If I get at least one hit on you with my rifles, it makes it one harder for you to hit me; ie. it goes from a 3 to a 4 on the die before any other modifiers come into play. If I take as many pins as my morale value (8 for inexperienced, 9 for regulars, 10 for veterans) my squad is removed from the board, scattered to the wind and effectively destroyed. (Squads only put out one pin no matter how many times they hit; you can't just pin someone off the board with one volley. Some weapons do more than one, but that is rarer and saved for the huge weapons.)
If I take 50% casualties in one activation I also have to take a morale check with a modifier equal to my pins. If I fail, I'm again destroyed. If I want to activate a unit with pins on it, I have to take a check at my morale value minus any pins. My officers provide me bonuses to the roll. Suppression and morale are huge parts of the game, as they were in WW2 or any war.
6. There Are No Intellectual Property Lawsuits
WW2 actually happened and there were real tanks, infantry, artillery, and aircraft involved. There are no copyrights etc. so any company can make the models needed. Warlord Games makes amazing models, but nobody can produce every single vehicle and variant involved in WW2. Other companies make models for different uniforms and theaters, so check them out!
7. Vallejo Paints
Many guides produced have colors from Vallejo referenced in them. They produce colors related to many different wars, but mostly WW2. Check out their line and pick up the colors you need.
One thing to mention here is that most uniforms and vehicles of the period are not nearly as ornate as what we're used to with other games; they're functional. Uniforms are usually three or four colors at the most. If you still want to masterpaint them, you can, using blending, highlighting, etc. Flesh is definitely something I wasn't used to painting but I'm getting better.
8. Historical Accuracy
When you start putting together and painting your guys you'll notice that you can't just choose to take 100 light machine guns or seventeen heavy howitzers. The force organization chart is based on historical accuracy and game balance; think of Bolt Action as "WW2 Arcade".
The other factor in that is that grognards (old guard - the dudes who are super picky about historical accuracy and love indices and charts and use the word 'Actually' a lot) will look at your models and if you've painted your marines in pink or your Wehrmacht in maize and blue it won't really work out.
Don't be too worried about being strictly limited; instead focus on a force you like the look and history of. There are slight adjustments you can make and liberties you can take. Most people can't agree on a color for German fieldgrey, so if you make small customizations it won't be an issue.
9. Cover Makes It Harder to HitPut your dudes in cover. There are no cover saves; rather you subtract from the chance for people to hit you with small arms. The 'cover save' has never really made much sense to me. Cover is everywhere, hug it.
As I mentioned above, many of the companies that produce models are really ramping up their production but the game is still in its infancy. Many of the models out there are pewter. You can still create an army entirely of plastic if you want - but at some point if you keep collecting you'll probably hit some pewter. A lot of people like metal models but I'm not one of them. Still, the quality of the sculpts is high, the historical accuracy is there, and I love the game - so I'm all in.
I hope this has helped as you move forward with Bolt Action. Have a great weekend!