I'd disagree that the Horus Heresy books would be a good place to start, they rely too much on knowing the background of the setting.
Especially the first one. Abnett, as usual avoiding writing an actual story, spent most of his time finding slightly new ways of saying having characters say "but, of course, such things could never happen (except, dear reader, you know they did)" in order to hold the foreshadowing together".
I gave up on the 40k books awhile ago, so I've not read all the HH stuff, but they were hardly the best 40k stuff around. Comparisons to the Star Wars prequels would be exagerated, but not without some truth. They reached the point that many tie in books series start out at, when they realise that they can stick their logo on anything written by anyone and the fans will eagerly lap it up.
IMHO, the best 40k (or Warhammer) stuff tends to be the older books. The Inquisition War Trilogy comes to mind, as does the Space Wolf series[footnote]While it was written by Bill King, that is, not after they'd given it to two people who'd never actually written anything, but happened to be big fans[/footnote]. Angels of Darkness was, at time of writing, the best Space Marine story, later surpassed by the even better (if somewhat derivative) Lords of the Night[footnote]But don't read the epilogue, it's a cheap sequel hook that ruins the impact of the otherwise brilliant ending[/footnote]. Deathworld was another great book, probably the best Imperial Guard (though Catachan, which is unusual) story, and actually fairly creepy at times. Pawns of Chaos by Brian Craig (you may know him as Brian Stableford) was an excellent depiction of chaos, though it drags in the middle.
The Soul Drinkers and Grey Knights series by Ben Counter started off very strongly, but fell into decline with the rest of BL.
I'd avoid Abnett's stuff in general. He seems to ever have only two endings for anything, a Deus ex Machina, or the death of the enemy commander, unless he combines the two. He likes writings ridiculously over the top Mary Sues, and is struggles to create any hero other than a generic good guy action movie type, which is a serious problem in a setting like 40k. The first Gaunt's Ghosts novel, First and Only, however, was before he saw his characters as his children (his words), so was the only good one of the series.
Ciaphas Cain...well, he's a one joke character, spread out over quite a few novels. He's been described as "The Flashman of 40k", and there is some truth in that, with the exception that the author excised everything which made Flashman great, turning what might have been an unique and interesting character into just another boring hero. This is a particular shame, as the author has written some other stories which were very good.
The Ultramarines books were mindlessly readable, but hardly great, and the author cannot resist throwing in movie quotes regardless of it they fit the story or not. Also, IMHO, the Chapter has been badly handled by GW in general. It's been criticised as being boring, in that it has always been defined as the template that unique chapters break away from, so GW changed them from the template, taking away the one thing they had, rather than make the template more interesting.
Don't buy anything with the name "C S Goto" on it. Just don't.
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All of the above is my opinion, however (which saw me getting banned from the Black Library forum when they still had one)[footnote]CL Werner discussed creating a character based on me named "Thaul Festerheart", due to my being the only person on the forum to consistently criticise BL publications, but my only cameo that I know of was merely named "Festerheart", which bears no relationship to my username.[/footnote], there are plenty of people who enjoy the direction that 40k has moved in in the last few years