The seminal 40K book is Space Marine by Ian Watson. It's literally the very first novel written and the origin of a lot of the current fluff.
Mind; a lot of the background has evolved and changed since then, but the careful reader can still hear this book resonate in so much of current 40K fluff. A lot of it was actually thought up by Watson (which was his brief when he was hired to write the book).
To me it's the best 40K book, period. Not in the least because Ian Watson was already a scifi writer when GW hired him, and his style is worlds apart from what followed years later. It's much more involved, gritty and atmospheric and I think it's the closest to 40K literature you'll get.
The Inquisitor/Draco trilogy follows his first book and this too is good, but does not reach the same level as Space Marine in my opinion. Especially the end feels a bit rushed.
But it's obvious where Abnett got his inspiration when he wrote the Eisenhorn trilogy. Which is another series I can heartily recommend. This includes Ravenor and the following books of course.
Then comes the first trilogy of the Horus Heresy series of books, which is awesome in its scope. The second trilogy is also good, but a bit less so, and what follows is quite hit and miss. Some are real page turners, whilst others are simply too bland to chew through.
Other 40K reads I really enjoyed were the Last Chancers books, the Soul Drinkers trilogy and of course Gaunt's Ghosts.
40K fiction tends to be a lot of hit and miss; there are some real gems out there but also some utter crud. I think this stems from the fact that just about everyone at GW is an aspiring writer and probably slaves away at their literary aspirations in their free time, submitting complete novels for publication by Black Library.
I do hope BL rejects sub-par work, but judging by what has been published, they either don't, or there are gaping holes in their quality control, because some true stinkers have made it into print. So stick to the recommendations made in this tread and you'll have a lot of good reads.
Just stay away from Sons of Dorn*...
* At least until you've read Space Marine; then you'll see that SoD is the most blatant of rip-offs. On top of that, it's bland, boring and not a little bit cringe-worthy...