Ah, 40K! I can really recommend the RPG
Dark Heresy.

I read the published game books for entertainment and good fluff, even though I have no players up for traditional pen and paper RPG. Looking forward to
Rogue Trader this autumn as well.
I also found the "
Horus Heresy Collected visions" well worth the investment. The book gives you plenty of WH 40K art and the general background story.
I haven't read many of the novels, but got through the Eisenhorn omnibus and Ravenor books, which were ok. I found the collection "Let the Galaxy Burn" more fun though.
And if you feel really nostalgic, pay through the nose for the two hardcover volumes of
Realm of Chaos (
Slaves to Darkness & The lost and the Damned) on ebay, though they are not 40K only. I think
Liber Chaotica is a compilation from the two of them.
cheers porphy