I agree that Eisenhorn trilogy is best thing in both literary and artistic value to come from 40k book departament.
Follow ups are very interesting too.
They are both interesting story wise, well written (much above level of anything 40k books have to offer) and very evocative.
Rest I read as guilty pleasure from time to time.
Best fun I had with Ciapas Cain and Shia Calpurnia novels - both mentioned above. They are not on par with Abnett Inquisition but very funny and I don't have hang over after reading them.
Ciapas Cain is in reality a travesty of the genre of mocking biographies and it is comedic in character.
Shia Calpurnia is as close to procedural drama as 40k gets.
All of them made me want to create and paint models - important factor
Abnett Gaunt Ghost novels while being fan favorite for a long time are quite schematic and uneven but I like them too and they are solid recommendation for readable 40k fiction.
I would keep away from anything Space marines related unles this is seriously your thing..