I will have to respectfully disagree with the above poster. The Horus Heresy (30k) series really shouldn't be read by a newbie to the background, a good chunk of what is so great about the Horus Heresy is seeing how the Imperium used to be and how it decayed into what it is in 40k. It's seeing the characters and figures who are only mentioned in hushed reverential voices in 40k almost as though they are gods and seeing that they were just people too, admittedly genetically engineered people but people non the less with faults, not the saint like figures they are in 40k. It's about seeing one of the arch nemesis of the Imperium in 40k, the Chaos Space Marines, when they were actually loyal to the Imperium and as fanatical as the Loyalists. It's about seeing an Imperium which was progressive, successful, high tech and secular, not the decaying, theocratic, intolerant failing behemoth that the 40k Imperium is etc.
While the Horus Heresy series has most of the BL's best writers working on it at the moment and as a result we've seen much better books come out of it than the 40k range of late, you still lose all the above paragraph if you don't have a decent knowledge of 40k to start with. Books I'd suggest as a good entry point for 40k are:
The Gaunts Ghosts series - Imperial Guard (Cain is also good but it's tongue in cheek like the Flashman series and isn't a great introduction to 40k, it requires pre existing knowledge of the 40k universe to really get it's tone)
Lord of the Night - Chaos Space Marines (in particular Night Lords but it gives you a decent view of general anti imperial feeling amongst the CSM)
Ultramarines series - Space Marines
Angels of Darkness - Space Marines (but of a bit more 'gray' persuasion than the Ultramarines)
Eisenhorn - Inquisition
Any of the Omnibuses (Omnibi?)
Then just expand outwards from there. The codexes and rulebooks are good for generalised background aswell. I should point out that the Soul Hunter/Blood Reaver/Void Stalker Night Lords trilogy is also excellent and possibly the best 40k series out there for Space Marines but I think it needs a decent knowledge of 40k beforehand and for you to have read Lord of the Night because it has a lot of 30k flashbacks.
Of the Horus Heresy if you're determined to read it before getting a basis in 40k the best books imo are: Horus Rising, Fulgrim, Legion, Mechanicum, A Thousand Sons, The First Heretic and Know No Fear. The rest are of decent quality aswell aside from Battle for the Abyss, which is just average.