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

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.