Here are suggestions from an earlier thread. I'm copying them here so that all the suggestions are in one spot with the better thread title.
The Gotrek and Felix novels are good but the Short Story collections are fantastic. The first Konrad novel is good, too. Anything with Genevieve the vampire is worth reading.
Grab a copy of the book Ignorant Armies -- a collection of short stories in the Warhammer world with Gotrek and Felix, Johann and Vuckotich, and Kurt von Diehl, a new Champion of Khorne who wanders north to the Chaos Wastes to seek the favor of the Blood God.
If you want to know what Khorne (and in some ways the other Chaos Gods) are all about aside from reading a Wiki entry -- read that story.
The books sucked me into the Warhammer Lore. It's really good, grim, fantasy writing.
I liked the first Gotrek and Felix omnibus.
I would also reccomend Malekith the Sundering.
I'd recommend 'Drachenfels' and 'Beasts in Velvet', both by Jack Yeovil (pseudonym of Kim Newman). Great stories, not your usual generic fantasy novels.
The Vampire Genevieve (onibus) and also the Orfeo trilogy (Zaragoz / Plague Daemon / Storm Warriors). The 2nd book (plague daemon) is a must for Nurgle lovers and Storm Warriors deals with the worship of Slaaneesh. Out of print but are easy to find.