I felt the same about "Titanicus". Very glad I read it though, awesome titan battles.
I started with the first book and worked my way through, currently on Mechanicum and I enjoyed them all, except Descent of Angels in which nothing happens and pretty much the entire book is just a set up for a sequel.
If you are looking for one to really get you into it, then read Legion. it blew me away, fantastically well crafted story that keeps you guessing until the end. It stands as a good book in its own right imo, not just good fluff fiction. it also benefits as good starting point because where the first 5 books follow on from each other with recurring characters, this one is stand alone and you don't need any prior knowledge of the series, it just chuck you right into the middle of a warzone and the story only picks up pace from there.
Oh, and it has a twist at the end which puts a completely new slant on the entire heresy and shakes up the whole 40k background. Never has the tagline 'secrets and lies' been more appropriate.
Hopefully this will be like Fellowship of the Ring. I couldn't get past the first 100 pages, so quit reading the book. When I started again, I loved it afterwards.
Same for Horus Rising, I think it's called, the first book. I tried reading it, quit around page 100. I just started reading it again, since I can't find a good book to read, and it does seem a bit better the 2nd time around. Just finished reading where the journalist was interviewing the guy, and the story of how he just got into the room and killed the "invisibles" or auto cannons.
What is the most important rule? That we should do whatever the hell we want, but preferably in the best interests of Games workshop when possible? :P Ill go with that