Every single book written by Dan Abnett, space marine related Rynn's World and Brothers of the Snake, for showing how a space marine can be more than a brute in power armour and Ciaphas Cain for doing something not so grimdark (i'm getting sick of that word). I didn't like that much the eldar books but i think they are worth mentioning because it's the best outside IOM.
From HH series i liked the most Prospero Burns, it had everything WH40k story need (for my taste of course): Hitchcock's beginning, very interesting story from a point of view of mere human not Space Marine, good narrative and awesome portraiture of Space Wolves and maleficarum. I totally recommend it!
Imho best ones I've read would be: The Night Lord series Prospero burns, The Lords of Mars and one other that escapes me atm...
