Let me start by saying Warhammer lore is THE lore to end all lore. Their concept of The Warp and Warp entities is phenomenal.
To understand deamons in the WH universe we must start with the four Chaos gods: Korne, Nurgle, Tzeentch, and Slannesh.
Korne is the blood god of war and violence. Enumerable skulls build the mountain upon which the Skull Throne rests. And before the Skull Throne legions of deamonic beasts clash and battle to entertain the blood god. “SKULLS FOR THE SKULL THRONE! BLOOD FOR THE BLOOD GOD!” -Korne Bezerker
Nurgle is the god of plague and disease. Rot and putrid waste abound in the wake of the armies of the Great Unclean One. Countless horrid monsters rave in the affection of Grandfather Nurgle. And papa Nurgle loves hugs! 
Tzeentch is the god of sorcery and change. Often interested in the affairs of the living, countless planets have succome to the sorcery of The Changer of Ways. Tzeentch is the very will of sorcery itself. Tzeentch’s deceptive power has lured many of the most powerful sorcerers even ensnaring the legendary Thousand Suns Space marines who once fought for the Emporer.
Slannesh is the god of pleasure and pain. Slannesh was actually created by the Eldar, a race of ancient space elves. The eldar used to have power over all the Chaos gods but lost their power becoming enslaved to Slannesh when they die. Like the other Chaos gods, Slannesh has caused many of the Emporers warriors to fall to chaos and herecy. Warriors of Slannesh feature their aptitude for swords.
There are other chaos gods but they are mysterious. Theres lots of lore and fascinating artwork related to warhammer. Go check it out and read some about WH deamons and the WH universe. Deamons are not friendly in the WH universe and most often seek to destroy or corrupt all life. The Chaos gods sometimes helps humans out but only when those humans sacrifice themselves to their patron Chaos deity. Sometimes the Chaos gods grant demonic powers and mutations to their followers transforming them into powerful deamonprinces.
WH is very large scale. They have an entire cosmological model for their universe. WH lore is freakin dense, packed with wild notions and mind bending concepts. I can honestly say learning about WH has actually assisted my understanding of Magick itself. People these days are only concerned with their own little path. In Warhammer, grand powerful forces collide across a vast and dynamic universe. I find the WH Chaos gods to be very fascinating. They can respond to you like your typical pop egregores like Azazel, Lilith, and Lucifer too.