The ones I found I liked best were the Eisenhorn Trilogy mainly due to the fact that he is only character telling the story and has to go to great lengths to unravel some od the plots he faces. Another one I read a short story or two, I'm not sure if it is its own series or not was about a commissar who basicly did all the right things when he had to and wasnt too bothered about heresy or rebelion against the Imperium at all. As long as he had a decent stack of poker chips a drink and some birds to share an evening with he was pretty happy.
Made a nice change from the standard most of the 40K books adopt of the unkillable protagonist, cant remember the name of it though