Just to mention a couple that usually get overlooked, there currently 2 books written by Sandy Mitchell (Ciaphas Cain, Tilean Rat etc) to go along with Dark Heresy and they both give a nice insight into 40K away from the battlefield, a bit like the other Inquisition based books. There's another series following a Rogue Trader Clan in the run up to the Damocles gulf war that shows a bit more of the civilian culture of the Imperium too.
As well as Space Marine mentioned above there was another early 90's 40K book called Deathwing that was all short stories. They probably feel more like sci fi shorts than 40k stories to the current generation but that's why I like them, worth a go if you want to see something a bit different (you can get it on e-book from BL).
Tales of Heresy is another short collection in the Horus Heresy series, but since it's a collection of shorts you don't need to worry about reading the rest first.
Ciaphas Cain gets another recommendation, not only is it quite funny it manages to avoid making the majority of the Imperium's population out to be monumental retards.
EDIT: Oh yeah...what are they called? DH books are "Innocence proves nothing" and "Purge the Heretic", I forget which comes first. RT books are Rogue Star and Star of Damocles. Not read the second and the first isn't brilliantly memorable as a book but from a fluff perspective it's quite interesting.