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What are some of the best books that feature prominently daemons as major characters or antagonists? I know about Architect of Fate, but that's all.

The Black legion books by Aaron Dembski-Bowden are great for finding out about Deamons.

They are:
The Talon of Horus
Black Legion

They focus on the Black Legion but the main character is a Thousand Son who has a bound Deamon as an assistant. You learn a lot about Deamons such as how their created and such.

If daemon princes are your thing then you'd absolutely love Daemon World by Ben Counter. That book is one of the best books I've read from Black Library. It has a daemon prince in it that brings a whole new meaning to the term "hard as nails", and the combat scenes in it are incredible.

Another good read is the Soul Drinkers omnibus. There are several daemon princes in those stories that are very interesting, including one particular daemon prince that's a virus. Also the Grey Knights omnibus by Ben Counter has its fair share of daemon prince villains.

I've just realised that all my recommendations are by Ben Counter.

Daemon world is probably my favourite BL book.