My opinion of must reads for 40k:
1) Any and all of Dan Abnetts Inquisitor books (Eisenhorn or Ravernor.) (As noted in another thread the next of these books comes out later this year.)
2) The first 4 Horus Heresy Books, plus mechanicum and The one about assassins (can't be bothered to remember the name. Prospero Burns was also especially good.
3) The two Space Wolf Omnibus's
4) Atlas Infernal
5) The Current Eldar Books Being put out are quite good.
There are more, but you only wanted 5
Currently Reading: Legion. Extremely good so far.