The Shira Calpurnia trilogy looked promising, but I haven't got to it, yet. Ciaphus Cain books are good if you want something with a little humour in them, but Gaunt's Ghosts has a really deep story, and Ravenor and Eisenhorn are both great series. Some of the stand alone books about the Successor Chapters can be alright, like the various books that go into the Flesh Tearers, or the double trilogy about the Soul Drinkers. The Ahriman books were actually surprisingly good, if your only knowledge of him is from the DoW RTS games, where he's just batshit crazy; the trilogy actually tries to explain his motivations. Oh, and if you want to go insane, try reading anything with the Alpha Legion, and see if you can figure out if they're deluding themselves, the Imperium, or absolutely everyone.