Istvaan arc of the Heresy books, Know No Fear, First Heretic, and Master of Mankind for lending depth and perspective to the conflicts within the setting and the Imperium in general.
Shira Calpurnia and Ciaphas Cain for taking a step outside the battlefield and showing us a more human side of the whole mess (not that Space Marines bashing each other in the face isn't cool, but occasionally a glimpse of what the vast military machine is fighting for is nice.)
And Dan Abnett's Inquisition saga (I prefer Eisenhorn to Ravenor; the supporting cast is more interesting), for doing both.
(If you made me pick only one it's definitely Eisenhorn.)
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