If you like army stuff, read Gaunt's Ghosts.
If you like more personal stories, read the Ravenor or Eisenhorn omnibuses.
Then go from there. Check the wiki (wh40k wiki has more info but it's not 100% reliable, Lexicanum has way less info but is generally truthful) if any races interest you and then check if they have any good books.
Maybe read Baneblade, I think it touches on some of the Imperiums things, not only on the war. >>5800293
I wouldn't recommend Horus Heresy for starters. They aren't bad, but they also aren't great books. And taking all of that info then realizing like 90% of it doesn't really matter anymore in the 40th millennium kinda sucks.