Descent of Angels by Mitchel Scanlon
Daemon World by Ben Counter (EPIC! Read this!)
Pawns of Chaos by Brian Craig
I have read the first two, the third I know of but have not read. But I would strongly recommend Daemon World to anyone, it is epic and features one of the greatest characters in all 40k in my opinion.
The third Grey Knights novel by Ben Counter. Hammer of Daemons, if I recall correctly. It follows a single Grey Knight captured and stuck on a planet in the Eye of Terror, forced to fight in gladiator games around the world while plotting his escape. More than one person I've seen has used the exact term "Conan in Space" to describe it.
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