What should I read and in what order?
I'm interested in the lore of the game, who is the emperor, how did this war come to be, who are the orcs, where do they come from, why is there a fascination with the emperor as if he were God?
If you want that info then you have to read the books in a specific order.
If i was you i would start reading Space marines codex to get you going and put some stuff into perspective.
After that i would read a bit of the HORUS HERESY books as the Emperor and all of the myhtical universe actors are mentioned in some way in the books.
The emperor is described in some, the primarchs and the founders of different Space Marine Chapters also.
After that is is a case of preference.
Imperial guard novels - to get a feel of the organisation and different units
Space marine battles - to see the variance in different Space Marine Chapters
Eisenhorn trilogy/Omnibus followed by Ravenor trilogy/omnibus - To see what the inquisition is all about. It gets mentioned a lot in books as beeing the big bad wolf and theese books give a good insight what the Inquisitors do and how they go on about it.
Gaunts Ghosts - if you love the imperial guard or just like the writing style od Dan Abnett
Space Wolf - if you want to dig a bit more into the creation of Space Marines etc. there are 7 books as far as i know and the first 2 describe how a mortal gets transformed into a Space Marine.
Ciaphas Kain novels - Should be read last as they fil last chronologically speaking from a writers perspective. ( it is ca. 125.M42 when the author gets Down and writes some of the older books )
After that it is really your perogative. Depending on what you like as there are a LOT of books and background material out there.