Eisenhorn is quite good, so I'll definitely second that.Sonicron said:The Warhammer 40.000 universe is incredibly rich in lore and well worth getting into. Instead of throwing hundreds of the Black Library's titles at you, I'll just give you one solid recommendation - the very series that reeled me in.
Dan Abnett, one of the best W40k authors there is, penned a trilogy about inquisitor Gregor Eisenhorn. The whole thing is available in a handy omnibus edition, simply titled "Eisenhorn". The series mixes action and suspense expertly, creating an atmosphere that's somewhere between grim dystopian warfare and a science-fantasy detective novel.
And if you end up liking the series, Abnett also wrote a follow-up trilogy about Eisenhorn's proteg?, "Ravenor". Same deal in terms of publication, and also an excellent read.
The Ciaphas Cain series is also a lot of fun. It's actually a comedy series that treats the 40k setting like the silly thing it inherently is.
Basically, the general rule with 40k novels is to avoid the ones that are actually about space marines (which I think is the majority of 40k literature at this point). Space marines can be fine as supporting characters in other books, but as main characters, there's just not a lot of ways to make them interesting. They're just big dumb guys who live to beat aliens/demons/heretics over the head while yelling about how holy they are