I really like well written game novels that expand on the fiction. Eric Nylund's books (and some others, but his are the best by far) showed that Master Chief did have personality, and Ghosts of Onyx introduced the fact that there are other major players besides those in the game. It made the games feel like a part of a large war. Master chief was still a god in power armor, but he wasn't the only threat to the covenant.
My favorite, however, was Karen Traviss' Republic Commando series. Very little takes place in the game, instead introducing a completely new squad, support characters, a new culture, and an amazing story. After Republic Commando, I wanted to revisit the characters, and the RC book series was the perfect addition. It didn't involve the game, but was great extra material. Sadly it ended (damn you George Lucas for your "I want to make Mandolariaons jedi loving wimps" cannon change. Explain Boba Fett, or will he apologize to Luke for what he's doing in Star Wars 3-D? /rant over) but it was a great tool in showing character growth and filling in the gaps.