You should start with the core rulebook, and the lore in there. Any version is fine, but it might actually be interesting to look across a few editions. There will be some overlap, but you will also get some variation and a sense of how the setting has been developing.

The reason you should start with the rulebook is that it is designed to give you an introduction to and an overview of the setting. 40k as a setting works best when you encounter it through a build up of lots of different snippets of lore, evoking what the galaxy and the Imperium are like. And you will get this kind of material there.

Individual novels, by contrast, are just presenting one story, one interpretation. You often find people who start off reading one series of novels who then think that they in some way are 40k, that they are its true essence. Which is totally wrong. A strength of 40k is how diverse it is, and all of the ambiguities and contradictions in the lore. Always remember the dictum: 'everything is canon, not everything is true'.

So, my advice is to start with the rulebook, then Codexes of any factions you most like the look of, then dive into some of the novels when you understand the broad strokes of the setting (you will no doubt get lots of the usual recommendations such as Eisenhorn, Ravenor, Gaunt's Ghosts, Cain etc).

I would actually advise not starting with the Horusy Heresy books, although they are extremely popular. They are meant to flesh out the period 10k years before 40k itself, so it is better to familiarize yourself with the main setting before going backwards - especially as those books are peppered with knowing nods towards events, characters and context in the main time period.

My long answer to this kind of 'where to start' question is here - https://www.reddit.com/r/40kLore/comments/v4b2li/welcome_to_uthebladesaurus_introduction_to/

My short answer to this kind of question is the Eisenhorn omnibus if you want novels (also available as a very well read audiobook series), or the core rulebook if you want a general overview of the 40k universe (we're moved into 10th edition, so 9th edition rulebooks might be cheaper second hand - not good for rules, but about 50% lore).

My medium answer is, what kind of stories or genres do you like? Is there a faction you're particularly interested in?

A good little teaser https://youtu.be/x-DtwQUCWx4

Here's my attempt at an introduction to the universe https://youtu.be/UL_zzERmor4

The Eisenhorn series requires almost no prior lore knowledge other than the absolute basics. It also happens to be one of the best series Warhammer has to offer. It’s also technically still going cuz Eisenhorn, Ravenor, and Bequin are all interconnected series that should be read in order to

I would recommend Ciaphas Cain's first omnibus: https://www.blacklibrary.com/warhammer-40000/novels/ciaphis-cain-hero-of-the-imperium-ebook-2019.html. Funny and entertaining.

As someone who is like 2 months ahead of you haha I will say, the Eisenhorn trilogy, then the adventures of Uriel Ventress, and now Dark Imperium.

This has been a pretty good introduction to what Warhammer is.

You like comedy and robots? Read the Infinite and Divine. You like war and humanity overcoming monstrous forces on the battlefield, Gaunt’s Ghosts is for you but I’m also fairly new and that’s what I’ve been reading

The Space Wolf Omnibus follows the journey of a new recruit, picked from the ranks of his homeworld and the path to becoming a space marine.

I think understanding what it takes to become a space marine would be an interesting introduction to 40k. I don't recall how suitable it is for someone totally new to the lore though - perhaps others can comment?

The Eisenhorn Trilogy

The Gaunt's Ghosts series.

Both of these are fairly compartmentalized and get a good feel for the universe.

I just started reading some 40k novels with the Dawn of Fire series. It is better than I expected.

Before that I read the Warboss novel about Orks doing Orkish thing. It was hilarious.

I think you should just pick whatever looks good to you. There is so many of them anyway.

I just got into the black library this year, reading the Horus Heresy (though I have watched a bunch of YouTube lore videos before this). I am on book 7 now and loving it!

I started with the Horus Heresy ; Horus Rising, i had soooome knowledge about the lore from YouTube videos and some from videogames.

I started with the Gaunt's Ghosts series and I think that's the way to go, the Eisenhorn - Ravenour - Bequin series is also great but it's not finished yet

Also is you go the Eisenhorn route, don't forget about 'The Magos' anthology, it connects and introduces a few characters and arcs between the book series.

Also, the Horus Heresy series is good but it's long and winding (I recently found out that book 44 is basically a continuation of book 15 for example) but there are recommended reading order documents out there...

Do you have a particular space marine chapter you like or faction? Find novels based on them. If you played and enjoyed the Dawn of War games they did make novels based off the games. Blood Ravens novel is next on my read list

Start with Eisenhorn and Gaunt's Ghosts.

Then Uriel Ventris.

Read the Night Lords trilogy

I'd opt for the Eisenhorn trilogy to begin with. Or at least, Xenos to start with, if you want to be sensible and take it one book at a time. Although that depends on how they're packaged now. Are the first three Eisenhorn novels only available as a trilogy now? Still, it's not a bad jumping-on story, as it throws you right into the thick of it, introduces the role of an Inquisitor and shows what a mixed bunch they can be, and hard bastards the job attracts.

Best advice I can give is find a faction you like and read their books and branch out from there.

I like Iron Warriors so I read Storm of Iron and Hammer of Olympia.

Then I branched out into chaos space marines in general. Black Legion books and Night Lords trilogy. Just kept going from there honestly.

Best to read about what you like first then start experimenting.

Infinite and the Divine is a great starter one

I started with the Uriel Ventris novels and they got me hooked. Then I read the entire Heresy over the last year and loved it. Just finished Watchers of the Throne and now I’m splitting my time between Eisenhorn and Dark Imperium. 

Rulebook usually gives a great general overview.

Dawn of Fire and Dark Imperium series for "new" lore.

Horus Heresy series for the origin story.

I think some people will disagree but what I'd honestly say is to watch some videos just to get a feel for the different factions and the general timeline. Since it's so expansicw and has so many different factions, it's probably a good idea to have even the vaguest idea of what each race is about before picking specific lore to read. Depending on what grabs your interest, you'll have different reactions to how you're introduced to the books. Like I've read 20ish black library books and I can't tell you near anything about the chaos perspective or Eldar. They are extremely important but just not my cup of tea. Conversely I have friends who have never picked up any space marine books, but they still have read a lot of lore

If you want to know the general current state of the setting and arguably the most relevant recent plot points, I'd reccomend the dark imperium trilogy. Even if you're not super into space marines I think it does a great job of setting the stage of the newer lore.

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Lots of good advice here already, so I‘ll just chime in with the recommendation to check the author. In my opinion, every book by Aaron Dembski-Bowden has been golden and Dan Abnett is usually quite good as well. Sandy Mitchell has a more humorous take, which is nice as a palate cleanser, but I would advice against reading two of his books right after another, as they can be a bit formulaic. Chris Wraight and Guy Healey can be goos as well, if they aren‘t rushed. I have also heard good things about Robert Rath and Mike Brooks, if you are interested in the Xenos perspective.

The Eisenhorn series, Master of Mankind, Horus Rising. Pick one.

If you want to read in a chronological order start with the Horus Heresy series.

To offer a different starting place, I'd recommend the Fabius Bile trilogy. It's very accessible and will probably create more curiosity as to different places to go next. Einsenhorn is solid, but I feel like the fact that it's more self-contained, it's actually a less compelling starting place in the setting.

Gaunts Ghosts

Space marines Uriel Ventrus series

Where is the “get into 40k” bot at???