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I second the recommendations of Space Wolves (the original trilogy; the quality of writing drops markedly past those), Horus Heresy (at least until book 7, which is where I'm at right now) and Space Marine and I also enjoyed Grey Knights, Sisters of Battle and others I can't remember here and now. The writing is somewhat variable, but rarely dips below fairly good.
The one exception so far is Space Hulk, the first book I read (or tried to read) since I have fond memories of the computer game. Unfortunately I found it awkward, repetitive and it ended up being one of the very few books I've ever given up on. So basically I'd suggest you keep well away from that one.
Otherwise I love the WH40K universe: it's vast, it's ancient and it's extremely well thought through and constructed. And I positively adore the dark, gothic, quasi-medieval, über-violent and frankly often quite deranged settings.
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