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I think he means he's played 40k on the table, but never read any of the novels, and would like to know a good series to pick up.

It depends on what you like, but I'd highly suggest the Gaunt's Ghost novels. You can find pretty much all of them in 13 dollar omnibuses, which contain at least 3 full novels and one or two short stories, and they're generally available at any major bookstore (Barnes and Noble, Borders, etc) in the sci-fi section.