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The first three books are always in print, after that you are pretty much on your own if you want physical copies. Used they range in price from 3 to 50 dollars for first, second, and third printings. The complete collection is available as E-Books through Games Workshop (unless things have changed since I last looked into it). Not sure the price on those.
First book is called Horus Rising. It is worth reading, Dan Abnett is the best writer in the series, if his name is on something it is always worth your time. He wrote comics prior to working with GWS, so set your expectations accordingly. Book 2 is False Gods. Depending upon your standards for literature you will either think it is absolute trash, or you might not notice anything wrong with it all. Graham MacNeill is divisive. Every time I get to one of his novels it takes me months to finish and it is almost as long before I pick up another. Galaxy in Flames in book three, it's by Ben Counter, and it didn't leave any impression with me at all. Must not have been that bad.
The quality of the series ranges quite broadly from incredibly inept to. . surprisingly good. I read the books and play the video games, I don't play with the toys, I like the setting and think it has tremendous potential and you can go into knowing nothing and get a sense of things pretty quickly.
edit: Recommended reading order.
https://www.tlbranson.com/horus-heresy-reading-order/
Mr. Abnett's style of writing is very newbie friendly, I gave another of his works, Gaunt's Ghosts, to my septuagenarian father who had never even heard of Warhammer, and he was able to glean enough through context that he went through the first ten books one after the other. It's now one of his favorite series, being the only book series he actively watched for the next release of.
Eisenhorn / Ravenor / Bequin trilogies for the inquisition.
Gaunts Ghosts for the regular human soldiers.
Ciaphas Cain for more inquisition in a comedy/action-adventure/"too good to be true" stories.
Honestly, just pick a series and go. 40K is very loose with how everything connects outside of major events like Horus Heresy and fall of Cadia. You can read pretty much anything and it will slowly start to make sense as you go.
Edit: if you want to get lost for days, highly recommend reading through any topic you want on wh40k.lexicanum .com
https://www.youtube.com/watch?v=M6M9-oFEKpk&list=PLl6BRvEJ-auZ5aYPHj1B3pKJ_pLjg9qNU
Once you get a basic understanding of what is going on in the general sense then you can dive into the books and literally read whatever. There really is no order other than what you are interested in.
But as people said, the Black Library is a good place to start.
Warhammer 40k is a VAST loredump of a hobby, considering it has been a thing since the 80s
They've tried some Rogue Trader books, I haven't been too impressed with, but the easy start are the Eisenhorn books, They're legendary for being a great introduction into 40K, If you're like me and don't have a lot of downtime you go on Audible and listen while on the road, fortunately Audible has a ton of the books, including the entire Eisenhorn series.
After that you might be interested in the Space Marines, that's kinda the hook for the franchise. There are a series of books on the Primarchs who lead the space marine regiments and you can get a lot of background.
Also the Horus Heresy as mentioned before goes into great detail about the space marine legions, the rebellion, it's a very daunting series,
But I think already mentioned in my post as well as half the posts here Eisenhorn is mentioned, it's a good start for sure.
https://archive.org/details/warhammertheendtimesvermintideartbook/Warhammer%2040k%20-%208th%20Edition/
Horus
https://archive.org/details/1562642295313
Gaunt
https://archive.org/details/DanAbnett-GauntsGhostsFirstAndOnly
Or by author https://archive.org/search?query=creator%3A%22Dan+Abnett%22
Strongly seconded, the Eisenhorn trilogy is both entertaining and newbie-friendly.