I think some of them are pretty good! My favorites are the Ciaphas Cain series and Eisenhorn series. Gaunts Ghosts is also good if you want a more serious military read. If you want non-humans, check out "The Infinite and the Divine". It's about necrons (highly advanced ancient space robots/terminators).

I finally got round to listening to a bunch of 40k stuff, I've read some in the past but not a lot and it's been a while. I started with the ciaphas cain series, it's somewhat comedic at times and the main character reluctantly gets into situations thanks to his heroic reputation. Lots of fun. Now I've been going through a bunch of Dan Abnett's stuff, eisenhorn and gaunt's ghosts. They both take themselves a lot more seriously. There's like 11 cain books and 16? Gaunt's ghosts books. It's all down to preference but I've been enjoying the guard-focused books a lot.

I think it's worth getting into, but you will quickly find authors you like and ones you dislike. I think the worst part of reading 40k is that you'll find a book you like, but it isn't a part of a larger series. For example hellsreach, or rin's world.

Maybe watch some YouTube videos about the setting first to see what interests you about the lore, and then start with books about that.

Warhammer, both Fantasy/AoS and 40k, have a billion books so if that's what you want, I'd say definitely check out at least a couple of the different series. Horus Heresy was mentioned, then there's a different series about Egyptian space terminators that is highly recommended, think the book is called Infinite and the Divine, then there's all the Ciaphas Cain books, really there is an ungodly amount, and all of that is just 40k.

On the Fantasy side, most highly regarded is probably Gotrek and Felix, a guy and a dwarf that travel and kill monsters and shit.

There are a shit ton of series to choose from, you could easily spend a long time reading only Black Library if that's what you'd like.

Jenkinsverse?