I was going to mention Eisenhorn in response to some books being mentioned, because, as you said, it was awesome. It really gave me a new perspective on the Warhammer 40K universe. Space Marines in that trilogy, be they Chaos or Loyalists, are incredible. The few scenes in which they appear, you get to see how vastly superior they are to normal humans. The Karskin also get major props in one of the novels, going in hand to hand with a Greater Daemon.
I also read Faith & Fire, because I was building a Witch Hunter army and actually I haven't finished it yet. Although I love the concept and the lore behind the Adepta Sororitas, the novel pretty much fell flat after a few chapters, so much that I've been reading it on and off for more than a year. I don't really recommend it.
I'll take note of the Horus Heresy, I had dismissed it because one of my friends jumped into the Warhammer with those novels and told me he was not satisfied by the series.
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