Coming off of about 8 Horus Heresy novels in pretty quick succession, I'm going to hit a few other things before going back for books 31 and on.
The last one I finished in this spate was The Damnation of Pythos, which while interesting, wasn't incredibly, or really at all, relevant to the main preceding of the Heresy. It was about a group of "shattered legions" space marines that happen upon a warp anomaly that allows them first get the drop on some traitorous Emperor's Children, but then ultimately leads to daemonic manifestation and the eventual doom of the planet, Pythos, and everyone on it, presumably, save perhaps the daemons now present. It was more of a side story.
I read some Amnesia: The Dark Descent fiction, since I had the pdf on my kindle. It was a short story, or rather short anthology of shorter stories, featuring characters and background to the story of the game. It had a sort of 1700-1800s gothic horror feel to it, sort of like Lovecraft's stories.
I also read up on a lot of the lore of the Warcraft series of games (and films, now, I suppose) through some light wiki reading, but mostly through the manuals for Warcraft III and World of Warcraft. It was background info I wanted to know, but told in the most dry, dull way imaginable. Perhaps actual novels would be more interesting, but overall I think the universe of Warcraft is just kind of boring. It serves the games as a dusting of flavor over the real draw, which is the play. I wouldn't put aside Warhammer 40,000 for it, though.
I've also just begun Altered Carbon, which comes doubly or triply recommended. So far it seems like edgy cyberpunk, but is there any other kind?