So I came up with this basic Black Library 40K Primer, to help folks choose where to start when faced with this daunting edifice of Dark Gothic fiction. It's not comprehensive, by any stretch. New books are added every month, and I'm woefully behind. Also, this is just the 40K side of things. I don't read as much BL fantasy stuff, but what I have read I've enjoyed immensely.
Adendum: New Books
Aaron Dembski Bowden, a relatively new writer in the Black Library stable, rose quickly to the heady heights of one of my favorites. I have only read two of his books so far, but they were both fantastic. He wrote one of the Horus Heresy books, The First Heretic . . . awesome.
And his own series:
If you like books from the point of view of the bad guys . . . showing an excellent differentiation of the shades of grey within the spectrum of bad guys . . . his Night Lords novels, starting with Soul Hunter, is a great place to go.
(Good catch, Vincetegator!)