The Cain series is ok, but honestly the earlier ones are MUCH better, I think the author needs to come up with some new material. By the sixth or seventh book you can tell he's struggling to describe Jurgen's body odor in some way that he hasn't used a dozen times already.
As mentioned the Eisenhorn and Ravenor omnibi are great,
BA I didn't like so much, the first
SW was ok. The Soul Drinkers omnibus hmmm I don't know. It was one of the first
40k books I read, and at the time I loved it. But since then, and after getting much deeper into the fluff, I've slowly realized that some of the major aspects of the story are ass-backward slowed. For example: