Like Diabeticsyde said it's a big setting and it's kind of hard to recommend stuff to people.
The Horus Heresy's first five books are a good starting point if you want to look into the early days of the setting (30k instead of 40k.)
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Some other books that he didn't recommend.
Gaunt's Ghosts for Guard is a great read, and is a Guard-focused novel centered around Commissar Ibram Gaunt and his regiment of Tanith First and Only Guardsmen.
Fifteen Hours is another great guard novel that really sets the tone for the setting.
For Astartes, I'd say the Ultramarine Omnibus is always a good place to start, even if it is a bit dated. Helsreach, as was recommended above, Rynns World, Dante etc.
In general though Warhammer is pretty easy to get into novel wise, just find a faction you enjoy and find a book you like for them.