I'd recommend getting your hands on something outside the Horus Heresy series first, though. Read the Eisenhorn trilogy, for example. Great introduction to the franchise (also has an audio drama available, two discs, but the second is a tie-in to the sequel trilogy, and thus full of spoilers. The first CD's got two stories, both pretty good).
Also stuff like Ciaphas Cain, for a more humorous spin on the Imperial Guard.