Speaking as a die-hard fan who has loved Games Workshop's games and settings since he was 13, my only honest advice is not to read any of them - there's MUCH better sci-fi and fantasy fiction you could be reading!
Don't get me wrong, I'm not a snob, I like pulpy fiction as much as the next nerd, and as I said I love their worlds, but the books are just churned out to appeal to their diehard 11-year-old audience, and very few of them tend to be good. Most of the writers who work for them are hacks, although there are some brilliant exceptions, like William King and Jack Yeovil (a pseudonym for Kim Newman).
If you
must read more 40k novels, I'd start with anything by William King. His "Farseer" is one of the few 40k novels I really enjoyed, and I'm kinda bummed he never wrote a sequel, even though it was supposed to be the first in a series. I also kinda liked Ian Watson's "Inquisitor" and "Harlequin" books, though I'm not sure you'd be able to find them in print nowadays as they drew heavily on lore that's no longer official canon (stuff like the Emperor's Star Child etc.).
Bill King is genuinely a good writer, the words just jump off the page and stab you in the eye. Ian Watson's books weren't as well-written, but I like arcane mystical conspiracy nonsense so I enjoyed them. A couple of friends have been trying to convince me to read the Horus Heresy books, but I notice that a lot of them were written by Abnett and I'm a bit wary of him - recently read a Warhammer book of his, Gilead's Blood, and it's didn't really leave me hungry for more.
If you really love wh40k, you should read some of the writers that inspired GW's designers, people like Frank Herbert (the original "mystical religions in space" guy!), Asimov, Stanislaw Lem, H P Lovecraft, even P K Dick (not as much as Herbert, certainly, but Games Workshop love themselves a bit of Dick!). 40k is a pretty unique and awesome setting, but it's basically 40% Herbert, 40% Tolkien and 20% Lovecraft tbh!