I've read many 40k novels in my time and there are definitely some great books out there courtesy of the more popular or modern writers already mentioned. If you go further back though, you can find some real gems.
Daemon World by Ben Counter and
Pawns of Chaos by Brian Craig are probably my two favourite 40k books. My copy of
Daemon World especially has practically fallen apart at the seams, the amount of times I've read it. It's one of those wonderful books where you discover something new every time you read it. When 40k novels leave behind the traditional trappings of the franchise and authors go down more unique avenues, you can find some very original and refreshing works. Dan Abnett's
Double Eagle was also very captivating for the same reason, although I wouldn't rate it as highly as the other two.
On a side note, did anyone else pick up any of the philosophical undertones in the (early) Horus Heresy books;
False Gods in particularly? Perhaps I was reading too much into it, but I thought there was a definite subtext there. Then again, I was also reading a lot of Nietzsche at the time