As someone who also just started out with Warhammer 40k (and also got onboard a few friends with this lol) I’d say the Eisenhorn trilogy is a great place to start.

It's basically a space thriller. And while extended lore is present, it's not required to enjoy the story. Whathever is mentioned gets explained and makes the whole trilogy very beginner-friendly.

Gaunts Ghosts is generally considered the best military sci fi in the 40k universe. It is just good military sci fi even without the 40k.

The infinite and the divine.

The Night Lords trilogy by Dembski-Bowdenis fantastic, it can hold up with non-genre books. His Helsreach is also fucking amazing, animated series is here: https://youtube.com/playlist?list=PLSWAxTw0FAGxkkqmuroxMwN5LviaBosJ5&si=0tCx_na_i3r6czOt

The first of the Horus Heresy series: Horus Rising by Abnett is also outstanding, but be careful getting sucked into reading all of the HH books as after the first handful it gets very patchy. BL got very greedy with the series. The Eisenhorn by him is also essential.

I would not read any of the Siege of Terra books until you read Horus Heresy. However if you never want to read that then crack on, the first few are the best.

As a rule of thumb I would avoid anything by Gav Thorpe, he should have stuck to writing rules and lore. He does have some good books but more stinkers than winners.

The opposite of Gav would be Peter Fehervari, who writes interesting twists on genre staples.

There are tons more, but they are outweighed by the dross. BL doesn't pay a lot to writers outside of a handful of the big names so quality can be low if you aren't all in on the lore.

Why not try one of the anthologies that features works from the big name authors, and then decide where to go once you've found a favorite? I really enjoyed Tales from the Dark Millennium https://wh40k.lexicanum.com/wiki/Tales_from_the_Dark_Millennium_(Anthology)