Warhammer do have some ebooks, they just aren't available from Amazon directly. But you can buy them from
the Warhammer website and then transfer the mobi formatted file to your Kindle via USB (or I think you can also email/Whispernet them? Can't help you there, I have a Sony). They are even
giving some away for free!
As for action-packed SF, how about
The Warrior's Apprentice by Lois McMaster Bujold? Or if he has an interest in programming and wants to try some comic fantasy, Rick Cook's
Wizard's Bane is a fast-paced read. Both of these are free, too!