I haven't read *any* of the books though thanks to this wiki and my mild interest in the lore I know the events roughly.
What book should I start with?
There are 500+ novels to choose from so it's hard to say
From the major events standpoint then the Horus Heresy/Siege of Terra novels or Beast Arises series are there, and if you already have an understanding of the lore these help flesh them out a bit and give you characters you can invest in
Or those that focus of smaller groups of characters within space marine chapters/legions... There are dozens of these so pick your favourites and go with that, although I highly recommend the Night Lords omnibus, the Salamanders Tome of Fire trilogy and Lukas the Trickster
If you're more into Xenos the Path of the Eldar/Path of the Dark Eldar series is worth checking out, you also have the Farsight novels if you're into the Tau
For regular(ish) humans the Gaunts Ghost, Cain or Eisenhorn collections are all decent reads
Begin with the HH series.
Some books I would recommend you would be the Eisenhorn series (xeno, malleus, and hereticus) as it dives into the life of Gregor Eisenhorn. You will see him change throughout the series the more you read and start to understand how the Inquisition operate. The Ciaphas Cain series is also another I would recommend but I still need to read them but heard that they were really good. Helsreach and Pandorax are another books you should check out. And of course the HH series, and for good reasons. Most of those reasons are probably listed by many of the peeps above so no point in repeating.