I think the first thing I read by Black Library was the short story collection that had William King's "Deathwing" in it.
I can't say it was--or is--one of my favorites, but it opened my eyes to the possibilities of stories set in a very dystopian far-future, in which there is only war. "Storm of Iron", by Graham McNeill was the first Black Library book I really enjoyed, with engaging characters and ideas* that are sadly not as prevalent anymore.
* E.g, the sort of brutal idealism that Honsou espouses, wherein Chaos is the best avenue for Humanity, if we are all to survive in a brutal universe. I found the idea of the Chaos Space Marines hating the Imperium and the loyalist Astartes but at the same time still seeing themselves as "the right side" (and in a weird way as champions of mankind) to be very appealing.
Unfortunately, said motif has been replaced by much more cut-and-dry villains. Anthony Reynolds' Word Bearers stories were very good, for instance, but ultimately there was no redeeming quality to his protagonists.