I just finished the Inquisition War series. Brilliantly written, if a tad bit inaccurate at a few points (obviously since fluff was just beginning at that stage).
Eisenhorn and Gaunt's Ghosts are awesome. Gaunt's Ghosts can get a bit repetitive at times, but generally they're excellent reads. Eisenhorn trumps everything though. Even though Hereticus was...unsettling, it was still one of the best 40k novels I've ever read.
I've also read Nightbringer. Well written, but generally pulp fiction. But I still enjoyed reading it.
The other 40k book I've read is Words of Blood. Interesting, and some of it is very good, but generally average.
The next book I want to read is Firewarrior (just to see Kais romp through Greater Daemons ).