I'd recommend the first 5 horus heresy novels, Horus Rising, False Gods, Galaxy In Flames, Flight of The Eisenstein, & Fulgrim. They tell the opening chapters of the war that resulted in the state of the contemporary 40k universe with an imperium that fell from a state of technological superiority and secular enlightenment into a barbaric dictatorial theocracy in a state of permanent total war that would give the american republicans a hardon from which they'd never recover.

The quality of the Horus Heresy novels is a little patchy, I'd probably put Mechanicum or Nemesis as the low point for me, not bad exactly but not really that exciting a read. Good background info though

Blacklibrary.com has the ebook (and indeed dead tree) versions of the HH novels as well as heaps of others for a pretty good price. Well unless your australian then you pay double but what else would you expect?

These are the books i have and can reccommend:

http://www.amazon.co.uk/Ciaphas-Cain-Hero-Imperium-Warhammer/dp/1844164667/ref=sr_1_1?ie=UTF8&qid=1327391347&sr=8-1

The Ciaphas Cain books aren't as much about the grimdark but to provide an entertaiing read while exploring many facettes of the reationships between the imperial castes, they're a bit formulaic but otherwise really good. and also a very good start for 40k beginners

http://www.amazon.co.uk/Horus-Heresy-Collected-Visions-Warhammer/dp/1844164241/ref=sr_1_1?s=books&ie=UTF8&qid=1327391505&sr=1-1

This one's a summary of the entire horus heresy (sadly it pretty much reads like one too) describing the ascension of the emperor and his fall. It might be a bit pricey, but if you're also in 40k art/images it's really worth it since there is some of the best artwork you will find in it (there's really a lot of it and in pretty high quality too).

And to be honest you can pick pretty much anything for Dan Abnett or Graham McNeill, and you won't go wrong.

http://wh40k.lexicanum.com/wiki/Main_Page

http://warhammer40k.wikia.com/wiki/Warhammer_40k_Wiki

Highly recommended. Although it is not very "40kish" (general lack of Space Marines). But I greatly enojed this series even without playing the tabletop.

Hmm...

Well, I'll give another shout out to the Gaunt's Ghosts novels by Dan Abnett. Although I've got a bit of catching up to do, the last two I read ('Traitor General' and 'His Last Command') weren't as good as the ones that came before, the series as a whole has been great.

The first four Space Wolf novels by William King are also well worth a read. The fifth, 'Sons of Fenris' written by a gestalt called Lee Lightner, is a gigantic piece of ploppy, and frankly I can't be bothered to read the sixth.

Similarly for Graham McNeill's Ultramarine novels. The first four are pretty decent, the fifth, 'Courage and Honour', is almost a parody (but not in a good way), and the sixth, 'The Chapter's Due', is the literary equivalent of a cock-block. As an aside, it shocks me that the same person who wrote that piece of crap also wrote 'Fulgrim', which is one of the best Horus Heresy novels.

A friend of mine highly rates the Salamander novels by Nick Kyme, although apparently the third in that series suffers from some of the problems that the sixth Ultrasmurf novel does.

The first three Blood Angel novels are also pretty good. The fourth is over long and has a cheap ending.

Also, 'Angel's of Darkness' by Gav Thorpe is well worth a read.

Probably the best 40k novels I have ever read, though, were 'Execution Hour' and 'Shadow Point' by Gordon Rennie, and 'Eye of Terror' by Barrington J. Bayley. The first two you can get from the Black Library website, although I believe the Black Library as done a little ret-conning (I've only read the original publications, so I can't comment on what or how much). The third would be either an Amazon or eBay job, but is well worth it.

Dan Abnett, I would think. Although the only experience I have with 40k fiction is Horus Heresy, which I mostly read as a guilty pleasure. The only really good book of the bunch (that I've read) is Legion, but Descent of Angels was pretty good aside from the tacked-on ending. Mechanicum was also alright. Whatever you do, though, don't pick up Battle for the Abyss. Ughhh. That is all I will say on that one.

Horus Heresy is IMO a good series, though it is obviously not about "present day" in 40k. As for me, I plan to buy other 40k books after finishing the HH series (which is btw still not completed). That way I spare more money :)

As many others have said Dan Abnett is quite good. His Eisenhorn series in particular is held in high regard by the 40k community, even though it takes some liberties with the fluff.

Gav Thorpe is also a decent author, and one that has done a lot to shape the 40k universe. He was the lead background designer fro 40k for a long time,

Ciaphas Cain was recommended above. Remember that it is a book that contrasts quite starkly to the rest of the setting. While there is a lot of grim & dark stuff going on, the stories about Ciaphas Cain are more lighthearted, almost satirical. Fun, but you might want to familiarize yourself more with the setting before you read them. And for the love of GOG, avoid C.S Goto! (Also, avoid all tie-ins, like Dawn of War, the Dark Heresy book, Space Hulk and any other that I might have missed)

Ooh, so many good recommendations. Thanks, guys! :D

Ah, then the DoW books are supposed to be double avoided... or something ;) . They made a tie-in book when they released Dark Heresy, and it is supposed to be the best of the tie-in books, but it is still not worth reading (not because it is horrible, but rather because there are so many better books). And they also released a book for Space Hulk when they released the 3rd edition of the board game. I bought it, and I regret doing so (the book, not the game. The game is awesome!). The book basically tries to give fluff justifications for all the rules, and runs through the different missions of the board game. When a rule is introduced in a mission in the board game, the book deals with a scenario concerning the rule

I've heard Ciaphas Cain described as Blackadder in Warhammer 40k, would that seem right?

http://www.fanfiction.net/s/7197317/1/Ponyhammer

:p

It's not a bad description. But still. I don't really think it's as simple as that, but there certainly are similarities.
Perhaps you could say that he starts out as that, but takes his own path.

In any case, you should read them.

A bit, though Ciaphas Cain is not non-stop comedy.