Him lets see what i read. (takes in deep breath) Both Space Wolf omnibus', Ciaphas Cain Defender of the Imperium (aka Omnibus), The first imperial Guard Omnibus, Cadian Blood, A Thousand sons, and Storm of Iron. So about 14 books. Im also readying the Redemption Corps and the Grey knights Omnibus. My favorites are probably A thousand sons, Ciaphas Cain defender of the Imperium, and Storm of Iron.
You should definitely read "Ravenor Omnibous" and "Inquisitor Omnibous" as they are quite good. I would also recommend the book "Titanicus". It goes into extreme detail as to how the titans are maintained and operate and has epic titan on titan battles!
if still looking for books, i suggest most by William king, sadly he never finishes his series and pawns them off to other authors. the others i liked have already been suggest, i also suggest fire warrior novel, decent but how the final boss battle ended always make me laugh (its a novel based on a game so i don't consider the fact there's a boss battle at the end a spoiler) as for tabletop being expensive, yes it is, but some tricks, buy the assault on black reach, or whatever it may change to in future, its cost alone is covered by the fact a rule book is inside, and you get two small armies aswell, f you wish you can then sell on ebay to get some money back. ebay is cheap and can get really lucky with some deals. but if you dont like spending money dont go near Armageddon or forge world, some models cost several hundred dollars, euros or whatever your currency is. also someone mentioned awhile back, cant remember who or care to look for it, but all races execpt one in the 40k universe are stagnant in terms of researching new tech. the tau are the only ones researching and at there rate, they will have incredibly powerful tech in they can survive a few more millennium, sadly its stuck in the 41st millennium and we will never find out.