If you want 30k, start with the main three (Horus Rising, False Gods, Galaxy in Flames). If you want 40k, well... I guess we can say that every WH baby's first book is the Night Lords trilogy (Soul Hunter, Blood Reaver, Void Stalker) and the Infinite and the Divine. If you want Word Bearers, Anthony Reynold's books are fun (in a Word Bearer kind-of-way); Dan Abnett's Eisenhorn (about an Inquisitor, reads more like a crime novel than WH); Sandy Mitchell's Ciaphas Cain is also fun; Graham McNeills Iron Warriors; James Swallow's Blood Angels (Rafen); Nick Kyme's Salamanders (Tome of Fire); you could also take a peek at Ben Counter's Soul Drinkers, Grey Knights and Ragnar books. Nate Crowley has Necrons (Twice Dead King) and orks (Ghazgkhull). Guy Haley's Belisarius Cawl is good. If you want Mechanicus - Forges of Mars; Thousand Sons - Annandale's Ahriman. etc etc etc and of course, my beloved Last Chancers (a penal legion scum under the command of the bestest boi(s) in the entire universe, Colonel Schaeffer (and Kage))
And these are all (mostly) series. There are many more standalone books and shorts so you really have an option to pick and choose here, so I think it would be easier if you told us what interests you