First 3 books in the Horus Heresy series should set you up on whether you'll like it or not. After that it's pick and choose your favourite chapters/legions or authors. Anything by Dan Abnett, Graham Mcneill and Aaron Dembski-Bowden is good stuff.
I remember enjoying the Sandy Mitchell books, the Ciaphas Cain series and the Dark Heresy novels.
One thing to note about the Ciaphas Cain series is that it's got a decidedly lighter tone than most other 40K books. Not necessarily comedy, though. Thinking about it now, I'd probably say it's the closest thing the 40K universe has to its own Gotrek and Felix series.
Also, I second the suggestion of the Eisenhorn and Ravenor trilogies.