Ah big problem. 40K books aren't in series as such. Mostly they are in the 41st millenium, but that's like saying all Indiana Jones movies are in the 30's. One series might be on the brink of the 42nd Millenium only for someone elses books to be 500-1000 years before. Things don't progress enough for there to be any social or technological difference. One series (Gaunts Ghosts) which is in sequence but only during the history of the Sabbat Crusade, started by trying to find a treasure beyond price, which was a machine that could supply plans for technology from 10,000 years ago. I think the fluff bible is the closest you're going to get and then perhaps dive into a book with a basic knowledge of how things are set up.
About once a year someone will bring up the book series. There are a lot of people here that do read them. I am, however, not one of them.
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Creator of the Star Trek Mod - AST Mod - 78 Ship Sets - Conquest Mod - Atrocities Star Wars Mod - Galaxy Reborn Mod - and Subterfuge Mod.
Well I guess they're hard to find. Here at least I get them from the local GW supplier. I also occasionally see them in other bookstores if perhaps they are going mainstream, such as Gotrek and Felix which can pass as standard pulp fantasy.