Essential HH books (in order of release).

Horus Rising, False Gods, Galaxy In Flames, Flight of the Eisenstein, Fulgrim, Legion, Mechanicum, A Thousand Sons, The First Heretic, Know No Fear, Fear to Tread, Angel Exterminatus (debatable, but I think it's important), Betrayer, Vulkan Lives (debatable, but good), Unremembered Empire, Scars (not essential but very very good and required for a later book), Vengeful Spirit, The Path of Heaven (sequel to Scars), Master of Mankind, Garro, Ruinstorm, Old Earth (debatable), Wolfsbane, Slaves to Darkness, The Buried Dagger.

There are plenty of other books, novellas, and audiodramas, but they are not essential to follow the series as a whole.