Anyone enjoy reading them?

Yup read all the Horus Heresy books as well as various other WH40K titles that focus on Space Marines.

bought "The Primarchs" for tester. It's awesome in my opinion.
The way the author presents really amazed me.

But the number of books that built on WH40k universe is too vast...
Don't even know where to start, let alone able to finish everything....

Horus Heresy is the best place to start, get the first book in the series and starts from there. It's basically the back story for the current state of the Imperium of man, though there are still a lot of things that are not told but it's a good place to start.

The other WH40k books are the current timeline, Horus Heresy is the past. Some of the ones worth reading are the 2 Space Wolves omnibus, Grey Knight omnibus, Blood Angel omnibus and Ultramarines series.

Yeah there are a lot of books in WH40k, so I myself just focus on the Space Marine portion, otherwise there are just too many to read.

Hells Yesss!! I thought no one else enjoys them!!

Abit hard to get hold of Warhammer 40K books though. Kinda pricey in Malaysia. So far I have collected nearly the whole set by purchasing it when I travel to Philippines (Every single bookstore carries them), or through a friend from Singapore.