My first was Dark Apostle. I found it in a Goodwill store for 75 cents a few years ago and thought "Why not?" I worked in a comic book/miniatures store in High School, so I knew what the whole 40K universe was about in a broad sense, but had never read anything other than the packages the miniatures came in and literature store management required us to read, so we were at least partially versed in the area to help out customers, lol.
After Dark Apostle I read Dark Disciple, then had to wait for Dark Creed to be released. While I was waiting I bought Storm of Iron and Demon World, seeking out any Chaos Marines novels I could find at my local bookstore. Then I was fortunate to select Eisenhorn, and was shown that a lot of BL books are good, not just CSM books. Dark Apostle was my favorite for years, until just yesterday, when I finished The First Heretic. I thoroughly enjoyed it, and was grateful that that side of the HH story was finally told. And thats all Ill say about that, dont want to ruin it for any of those that have yet to read that fine addition to the Horus Heresy collection.
I am VERY happy I picked that book up that day, and as far as I am concerned it was the best 75 cents Ive ever spent. My collection has expanded significantly, growing to a modest 52 volumes, more if you count the omnibus editions as separate books. I have re-read the Dark Apostle, Disciple, Creed trilogy several times since then, and still pick one of them up occassionally while waiting for my newest purchases to arrive in the mail.