Of all the HH novels I must say I am tied between Fulgrim/Legion being the best. Fulgrim had me crying inside at watching his fall and eventual corruption, a damn sad read. Legion on the other hand is incredibly badass in flushing out the true reason for the Alpha's turn instead of "Horus found Alpharius, so Alpharius liked him more than the emperor!". It is immensely relieving to see one of the 800 outside forces who have been trying to warn the Imperium that "Here Be Dragons" when seeking Chaos, actually get through to someone. It also awesomely explains why the Alpha Legion still uses the "For the Emperor" battle cry.
On the other end of the scale, Descent of Angels pissed me off. It was a very good story but the ending makes no fucking sense.
All of the other HH stories are somewhere in the middle, I really do miss reading about Garviel Loken or whatever his name was from the Luna Wolves.
Aside from the HH series, Gaunt's Ghosts/Ciaphas Cain novels are for the win for completely different reasons. Can't wait till Battle for the Abyss and Mechanicum.