I'd start with the Horus Heresy series, then when you have a favourite chapter / race, then you can choose.
It is generally advised to start by reading the Horus Heresy series of novels, but please read them in order.(The wikipedia page on Horus Hersey has the sequence)The Eisenhorn series is apparently also widely recommended on the forums, though I have not read that one yet.
I absolutely recommend the Eisenhorn series as a good starting point. It's well written and introduces a lot of Warhammer 40k's themes and gives a good overall impression of the "GrimDark" Universe.
Also, the Gaunt's Ghosts series can be a good jumping off point as it highlights The Imperium's constant struggle with Chaos. It also gives a nice non-Space Marine viewpoint to things.
If you're more into Space Marines, the easiest way is to simply pick one of the major chapters that sounds the most appealing and pick up one of the novels involving them. (Strangely, my favorite to date are the traitor legions Black Library stuff- I HIGHLY RECOMMEND the Night Lords series.)
I would suggest the horus Heresy series, and the Gaunts ghost series later. Also, I would also highly recommend the Ciaphas Cain Series by Sandy Mitchel. But thats just me.
in my humble opinion you should stay well clear of the Horus Heresy novels until you've read a good amount of the other stuff first.
I say this because a friend of mine only started reading warhammer a year ago but started with the heresy books, he said he just cant enjoy the 40k stuff as much now, (although he does enjoy them) its kinda hard to get into it once you've read about primarchs and the emperor first hand.
Maybe start with a battle novel first, only one story and from there you could have a better idea of where your tastes are. if you start with a book which is part of an omnibus you may feel obliged to read them all (if your like me that is).
To be honest from my opinion they're all pretty good but my current favourite which is not part of the Horus Hersey is 'Legion of Damned'
Hope this is a help, but truthfully you cant really go wrong.