There are literally hundreds of novels. The prequel series alone (Horus Heresy) has something in the range of 20-40~ paperback books.
If you want a really easy, accessible, and somewhat humorous read of the overarching fluff, checkout the chan wiki: https://1d4chan.org/wiki/Warhammer_40,000
If you want some award-winning novels about the Inquisition (and easily some of the best novels in the 40k universe), check out the Eisenhorn trilogy (which exists in omnibus form as one fat book). The game they're playing is about the Inquisition specifically, so it'll give you some good context.
My personal "hot take" on what 40k is about: it's the grim darkness of the 41st millennium, where gods, demons, and alien monsters vie for domination of the galaxy. The Imperium of Man is a 10,000-year-old regime, crumbling and stagnant, brutal and dogmatic, the last bastion of humanity against the monsters beyond our dominion. The Emperor is god, the Space Marines his angels of death, the Inquisition his purifying flame. Across the war-torn galaxy, ten-thousand apocalypses rage as the light of hope is snuffed out bit by bit. Know that you are one in a vast sea of trillions of souls, and you must fight for your survival by claw and blood, or else hope for a death by the flame, lest you succumb to greater nightmares. And, have fun.
Some kewl vids: