I've only recently started reading the novels. I enjoyed the first few
HH books, so Galaxy in flames, False Gods, and Horus Rising. I thought they were tight, tense and everything a new book series needed to kick it off. The
HH series has drifted in focus too much since then though, they really should have kept to little trilogies for each legion detailing and building up to Istvaan or other events like prospero. In some respects they have, in others they have gone a little off course.
I really enjoyed Fulgrim, as others have said it was just brilliant. Mechanicum has been one of the high points too, but not as good as Galaxy in Flames for me. I also enjoyed the two Dark Angels books I've read, Descent of Angels and Fallen Angels, though I think Johnson is a bit of a Dolt.
The short story omnibus was pretty good, the one that contained The Last Church, that gave a great insight into the early days of the Imperium and the Emperors view of the world and his plans for humanity, and a grim window onto the world of our future. It's actually my favourite piece of writing in the series so far I think. I'd love to see some John Blanche artwork for that story
As for
40k I haven't delved much into it, I recently read a short story about the grey knights called "Sacrifices" and that was really interesting, it detailed the different processes and sacrifices people go through to make the armour and bullets the Grey Knights use etc. Was pretty awesome. I'd recommend it.
Next I'm likely going to read either Eisenhorn, or A Thousand Sons. Haven't decided yet.