Here are my five all time favorites:
1. Storm of Iron by Graham McNeill
"On the nightmare battlefields of the Warhammer 40,000 universe, few foes spark more fear and dread than the Chaos Space Marines. Nurturing a hatred that is millennia-old, they attack without mercy, spreading terror and destruction in their wake. Now hell has come to Hydra Cordatus, for a massive force of terrifying Iron Warriors, brutal assault troops of Chaos, have invaded the planet and lain siege to its mighty imperial citadel. But what prize could possibly be worth so much savage bloodshed and destruction and how long can the defenders possibly hold out?"
A pretty good introductory novel for people not familiar with 40K. It jumps quickly into action and gives people a good idea of what grimdark is all about. A little hard to find in print, but available on amazon at very affordable prices.
2. Soul Hunter by Aaron Dembski-Bowden
"The Night Lords were once among the most potent forces of the Imperium, Space Marines who used fear itself as their weapon. Now, cast adrift from the Emperor's light and hunted as heretics after their monstrous betrayal, the Night Lords clad themselves in symbols of death and fight the Long War, bringing pain and terror to all who worship the corpse-god of Terra. A summons from Warmaster Abaddon sends these rebels on a dangerous journey that leads inexorably to a conflict with the Emperor's chosen warriors: the Blood Angels."
Dembski-Bowden is hands down the finest author in Black Library. He has a keen awareness of how the Night Lords' unique perspectives on human nature and justice could lead them down a terrifying path of destruction against the Imperium and anything else barring their way.
3. Skitarius by Rob Sanders
"The skitarii are the soldiers of the Machine God, the tireless legions of the Adeptus Mechanicus. A discovery of ancient technology sends a skitarii legion, commanded by Alpha Primus Haldron-44 Stroika, into battle on a forge world overrun by Chaos. When a cataclysm cuts him off from his tech-priest overseers, Stroika must rally his forces and battle corrupt machines and Chaos Space Marines if he is to achieve victory."
Doesn't exactly have a happy ending, but amazing portrayals of how the adeptus mechanicus goes to war and how demonic possession affects them. The audio book with Tobey Longworth is even more incredible, as he effectively injects mechanical life into the characters with his versatile talent.
4. Battle of the Fang by Chris Wraight
The first Black Library book I read and still the best space wolf novel.
5. Path of the Warrior by Gav Thorpe
"The ancient eldar are a mysterious race, each devoting their life to a chosen path which will guide their actions and decide their fate. Korlandril abandons peace for the Path of the Warrior. He becomes a Striking Scorpion, a deadly fighter skilled in the art of close-quarter combat. But the further Korlandril travels down this path, the closer he gets to losing his identity and becoming an avatar of war."
The writing admittedly can be a little clunky and the subsequent novels in the series are not as strong, but Path of the Warrior does an excellent job of explaining how to an eldar the path of life is primarily one of personal exploration and development and not just of survival.
Admittedly there are no Horus Heresy or Dan Abnett books on this list. If I had to choose a favorite HH novel, I'd probably pick A Thousand Sons by McNeil. I very much like Legion and Xenos as Abnett novels, although most people will probably agree that Horus Rising is the seminal book for both categories.