Codex comes from the Latin word for "book". If you want a book to sound really fancy, render its title in faux-Latin and stick the word "Codex" in front, like "Codex: Canus Latinicus". The plural used in both English and Latin is "codices", however, Games Workshop often pluralises as "codexes".
In Warhammer 40,000
Since the Second Edition of Warhammer 40,000, each army book and expansion published by Games Workshop has been titled "Codex: Insertfactionhere." The term "Codex creep" refers to the fact that the codexes currently in play have been published across three editions and ten years, and it seems that the latest codexes (especially the half-dozen flavors of Space Marines) are more powerful than the older ones in order to entice people to buy the army of the month.
Sometimes the different classes of codexes and expansions are nicknamed with some descriptive term ending in "-dex" (cf. the different flavors of Carnifex nicknamed with something ending in "-fex"), like the "mini-dex" books from Third Edition that contained special rules and a few extra units for an army list that has been published already (e.g. Craftworld Eldar as an expansion for Eldar, or Catachans as an expansion for Imperial Guard).
The word Codex is also used in the universe of Warhammer 40,000, like the Codex Astartes.
It should be noted that the Codex release and update schedule is of great concern to the 40k fanbase, and thus all of /tg/. Once the slightest hint of a new codex being released is given to one, sweaty neckbeard, all of the internet knows about it by days end. Once such an inkling is heard, rumors of the new Codex being overpowered, pandering to the latest edition's new features, screwing the owning faction's canon over, laying a plague upon our crops, and draining the light from the sun itself abound with fervor and gusto, dividing the community, and especially the specific faction's playerbase, into a veritable rage-rainbow of divisions.
The especially hot-button issue in the inevitable debate once the shadow of an unannounced new Codex looms is who the writer will be. In the eyes of many players and fans, this and this alone will determine if the Codex will be "bad" or "good", fun and balanced or overpowered and min-maxy. With the rise of Matt Ward (say what you will about him, the man churns out books at a Stephen King-esque rate (well at least before the the poor bastard got blindsided by a goddamn minivan)) and a strange dip in the variety of GW Codex writers, there is now an inevitable list of writers that every Codex will have attached to it, before the real writer was announced.
As of late 6th (Around Sentinels of Terra at least), they no longer display names as to who writes these codexes, as the job is now officially made by the GW Design Team, meaning that all the writers are in on it. However, each White Dwarf codex interview tends to talk to the writer with the most work on the game, and thus the most basis on how the rules will be.
- Matt Ward: Overpowered characters with no clear opposition, rules that always change up the meta for an army like Battle Focus.
- Phil Kelly: Random tables all up in this bitch! Also, a weakness to monobuilds.
- Robin Cruddace: Tanks: Good! Bugs: Bad!
- Jeremy Vetock: Not much. While the Dark Angels codex was weak with shit flyers, the Tau was astoundingly OP.
The Inevitable List will Always Include:
Phil Kelly, (no longer, as Kelly's now writing fluff as an all-time job), Aaron Dembski-Bowden, Dan Abnett, Jeremy Vetock, Robin Cruddace, Jervis Johnson, Simon Grant, Joss Whedon, Stephenie Meyer, Philip Reeve, Scott Westerfeld, Terry Pratchett, George Lucas, Neil Stephenson, Neil Gaiman, Sheldon Cooper, J.K. Rowling, J.R.R Tolkien, George R.R. Martin, M. Night Shyamalan, The Doctor, Kermit the Frog, Moira Brown, Bilbo Baggins, Nigella Lawson, Frankie Boyle, James Patterson, Stephen King, Anonymous, Aristotle, Sauron, Shakespeare, Plato, God, Satan,Egoraptor and Sly Marbo for some reason.
Of another concern is the slowly rising prices of the codexes, especially in recent years. Where as several years ago they were at most £12 for the average book, most recently the cost is going up to £35 pounds, a massive leap and a bigger dent in the pocket before you even buy miniatures. This is particularly important to space marine players, considering how often their army gets redone, they will be buying a new expensive codex every couple of years at this rate...also there's a metric fuckton of rules and shit to go through.
A supplement is a mini-codex, an add-on containing additional rules in order to have an army from a mainstead codex with unique features and abilities. This is as awesome in theory as it sounds but the supplements of recent years have suffered in varying levels of quality up and down like a roller coaster.
The peak of supplements was back in the early 2000, back in the 3rd Edition when you could get supplements like Codex Craftworld Eldar, Catachans, and Assassins. For a small cost of £4 you could get a bunch of rules allowing you to customise your army, some quality fluff and a scenario or two. It was short, neatly packed and exactly the worth of price you were paying.
Since that time thought GW has gone down the dark route of profit mining and the supplements are no exception to what has happened in recent years. Supplements are no longer the small extras from before but now the same size (and cost) as the mainstead codexes, While this may not sound like a problem you still have to have the main ones in order to use them and depending on the writer current edition supplements can be hit or miss. Black Legion is considered perfectly acceptable for fluff for example while Iyanden and Sentinels of Terra have received their fair share of problems. Clan Raukaan has something of an opposite issue from Black Legion: The fluff is quite flimsy, but the rules and items are real good, to the point of spawning a meme of a character. The Crimson Slaughter is perhaps the 6E Supplement with the least complaints, as the fluff was entirely new, while the rules happened to be rather good.
Some supplements such as Blood Angels, Dark Angels, and Space Wolves from 2E onward have grown to become a full-on army and mainstead codex releases now, to allow you to use their rules beyond their specific chapters as the fluff on their seconding founding chapters have been expanded (which at least is a good silver lining).
In Warhammer Fantasy
WHFB's equivalent to codexes are called Army Books. Calling army books "codexes" is a great way to get the greybeards at your FLGS to divebomb your house with Gyrocopters. They work in essentially the same way and are written by the same teams as in 40k, but supplements were uncommon, with the majority of it either being White Dwarf exclusives, the below-mentioned dataslates, or themed around major events (As is the case with Storm of Chaos and The End Times).
In Age of Sigmar
The new game would follow a similar nomenclature with the term Battletome. These Battletomes would provide the rules necessary to play the game beyond the most casual capacity as the website would offer datasheets for the sets, but little else. On top of these are the Grand Alliance books, which covered the larger factions of the setting (Order, Chaos, Death, Destruction) while offering alternative rules for warlord traits and relics and datasheets for models which are still clogging the inventory but haven't yet been canned by GW to be replaced with something new.
Around the tail-end of 6E, there were releases for Dataslates: small electronic documents along the likes of the Inquisition, Adepta Sororitas, and Legion of the Damned Codices that gave the players a small bit of fluff on the units/formations in question, but also granted access to certain formations with special rules inaccessible otherwise. Some (Cypher, Be'lakor) gave full stories and rules for a single character, while others (practically every other dataslate, but especially the Tyranid ones) gave full formations that counted outside the FOC, and thus could be spammed with impunity. That said, however, there is a middle ground between codices and slates, as was the case with the character dataslates as well as the Officio Assassinorum dataslate that acted as a mini-codex.
Fantasy similarly has Battlescrolls which follow the same rules (Be'lakor's Dataslate acted as rules for him in both games even!), and have the Scrolls of Binding act in a way to grant Lords of War to certain Fantasy armies by letting them field behemoth creatures.