In general, I'd recommend the earlier stuff. Although fluff is being retconned all the time, Games Workshop used to get actual authors to write for them, instead of sticking their logo onto anything anyone would write. Way back when, authors would be known for writing fiction, instead of exclusively writing for GW as (with few exceptions) they seem to do nowdays.
Anything by Bill King. In the Space Wolf series, he went to the trouble of making the marines actual characters, which people tend not to bother for some reason. Also, Farseer was a great book, first of a series that never eventuated.
Other great marine books are Angels of Darkness and Lord of the Night...very powerful endings (as long as you skip the epilogue of the latter)...people cried reading AoD.
The early Ben Counter books were good as well, but he fell into decline along with the rest of 40k fiction.
For non-marine stuff, I'd recommend the Calpurnia series by Matt Farrer. Also, Deathworld for Imperial Guard.
Alot of people like Abnett's work, but IMHO, he consistently misses the point of the setting, relies on painfully generic Mary Sue action hero characters for all his heroes, whether it makes sense or not. First and Only was before this became such a problem, though.
