If you haven't read any of Robert E. Howard's Conan the Barbarian series, you should. The MMO might not be all that great, but the books rock.
For Warhammer 40K I've been getting the Omnibus's, which are three or four novels packed into one huge book in the right order as to seem like one story. Gaunt's Ghosts and The Saint have been my favorite two so far, both following the actions of the Tanith First and Only, an Imperial Guard unit. They're not like the Space Marine books where the good guys are all super human killing machines, so I get sucked into them more.