For anyone that wants to explore that universe and not be bogged down in the same rote stuff over and over, just make sure to avoid the standard hack/slash books by unknown writers over subjects like the Imperial Guard, etc. Read everything by Dan Abnett, Graham McNeill, and Ben Counter. Stick to the books which make up over-arching storylines such as Abnett's Gaunt's Ghosts and Eisenhorn/Ravenor work, McNeill's Ultramarines books, Counter's Daemon Hunters books, or new stuff like the Word Bearer's novels by Aaron Dembski-Bowden.
Oh, and most importantly? Read the novels in the Horus Heresy series. They cover the backstory about how the Imperium came into existence and the schism that happened when half of the Emperor's sons (genetically engineered superhumans) turned against him to take up the reins of Chaos.
Yes, there's a lot of hack and slash in Warhammer 40k. However, there's some good stuff to be found, too. Personally, I think (outside of the myriad aliens and evil daemons of Chaos) it's a rather realistic picture of what humanity might look like 40,000 years from now. It addresses stuff like shackling people and keeping them in line through religion, the dangers of unchecked technology, the issues of overcrowding/overpopulation/lack of resources/damaging the environment, etc. The people running the Black Library know their stuff isn't exactly respected in the literary community, but they've been trying really hard as it gains popularity to write deeper and more sophisticated stories.
SydneyCarton - I don't really know what you were expecting in regards to the Wheel of Time, but Robert Jordan always planned on writing 12 books. He just died before he was able to finish his series. Sanderson has taken over for him and found there was too much to write about to fit it all in one book, so he's doing a trilogy to finish it off. He's gotten two written already and they're fan-$#@!ing-tastic. Less women arguing amongst themselves and more Rand pew-pewing bad guys with saidin and even *gasp* the "True Power." It's worth it to finish them out.