There are a few basic situations to consider that I know about.
The first case is when the group $G$ is compact. Then if we are given a continuous rep. $\rho: G \to GL_n(\mathbb Q_p)$, the image is compact, so lies in a maximal compact subgroup of $GL_n(\mathbb Q_p)$. Any such is conjugate to $GL_n(\mathbb Z_p)$, so after changing basis, we may assume that $\rho: G \to GL_n(\mathbb Z_p)$. (Another way to phrase this is that $G$ must leave some $\mathbb Z_p$-lattice invariant, and there are lots of ways to prove this, without having to mention the concept of "maximal compact", if that makes you at all nervous.)
At this level of generality, there is not that much more to say. But there are various subcases of interest in which one can say more.
E.g. if $G$ is a Galois group, then there is an enormous literature about $p$-adic Galois representations of Galois groups. If this is the case you are interested in, you might want to ask another more specific question about it.
There are two other basic subcases, but before introducing them, I have to mention a basic fact about $GL_n(\mathbb Z_p)$, namely that there is a quotient map $GL_n(\mathbb Z_p) \to GL_n(\mathbb F_p)$, whose kernel, which I'll denote by $K(1)$, is easily seen to be a pro-p-group (i.e. a projective limit of $p$-groups). (The reason for the $(1)$ is that we could also consider $K(n)$, the kernel of the "reduction modulo $p^n$'' map, for each $n\geq 1$.)
Here now are two other interesting subcases of the compact case.
The first is when the group $G$ is profinite, and is virtually pro-prime-to-$p$, i.e. contains an open subgroup that is the projective limit of finite groups of order prime to $p$.
Examples of such $G$ are $GL_n(\mathbb Z_{\ell})$.
In this case, let $H$ be the open subgroup that is pro-prime-to-$p$. Since $K(1)$ is pro-$p$, we see that $\rho(H)$ and $K(1)$ must have trivial intersection, and so $\rho(H)$ injects into $GL_n(\mathbb F_p)$.
Thus $\rho(H)$ is finite, and hence $\rho(G)$ is finite too. Thus in this case, the continuous $\rho$s all factor through some finite quotient of $G$, and we reduce to standard representation theory (i.e. rep'n theory of finite groups over a field of char. $0$).
The second, and more interesting, case is when $G$ is virtually pro-$p$, i.e. contains an open subgroup $H$ which is pro-$p$. (E.g. if $G$ is itself $GL_n(\mathbb Z_p)$, or a closed subgroup thereof.) In this case the theory is more genuinely $p$-adic, i.e. it doesn't just reduce to the classical rep'n theory of finite groups. A good place to learn about some aspects of this is Lazard's opus Groupes analytiques $p$-adiques, in Publ. Math. IHES vol. 26 (1965), where among other things he studies the continuous cohomology of such representations (when the group $G$ is $p$-adic analytic, e.g. a matrix group), explains the relationship to Lie theory and Lie algebra cohomology, and proves various Poincare duality-type results for the cohomology.
More recent discussions of Lazard's work and related ideas can be found in some of the literature surrounding non-abelian Iwasawa theory, e.g. Venjakob's article On the structure theory of the Iwasawa algebra of a $p$-adic Lie group in J. Eur. Math. Soc. vol. 4 (2002).
Finally, let me mention that if $G$ is not compact, but is just locally compact, e.g. $GL_n(\mathbb Q_{\ell})$, then there usually won't be many interesting finite-dimensional representations in which $G$ preserves a lattice, and so it is natural to consider $p$-adic Banach space representations in which $G$ preserves a lattice instead.
If $G$ contains a profinite open subgroup that is pro-prime-to-$p$, then this theory is not so novel — one can see for example Vigneras's article Banach $\ell$-adic representations of $p$-adic groups in Astérisque vol. 330 (2010).
On the other hand, if $G$ contains a pro-$p$ open subgroup, then the theory is much more involved, and is the subject of a lot of recent work, especially by people thinking about $p$-adic Langlands. You can see some of the papers of Schneider and Teitelbaum, and of Breuil and Colmez, as well as some of the papers on my web-page. (I'm Emerton at Chicago.)