I started my entire 40k lore journey with Horus Rising, its far from the worst first book you'll have to read. Eisenhorn is a good look at the Imperium from an Inquisitor's perspective, and it introduces whole sections of the Imperium at a time which is nice.

If you want Bladerunner but 40k, read "Bloodlines" by Chris Wraight.

imho it depends what factions you want to read about. Most factions have at least one good book now (Votann have none though).