A lot of people point towards the Eisenhorn Omnibus as a great starting location, and I generally agree. It’s a collection of shorter stories following an Imperial Inquisitor. You get decent looks at the core of the series without it being terribly overwhelming, and it’s all pretty well written.

After that, it’s kinda up to you. There’s a wealth of books, games, animations. Some are good, some are terrible, it’s kinda a massive mixed bag.