Mm... well, I'd prooobably recommend asking over in the WH40k thread as to which book(s) to hunt for first, then. The warhammer stuff in general isn't exactly the most amazingly written stuff, and while there's a fair few that are quite decent, there's also some that's... less so. Especially from a fluff point of view... there's a particular author (though I've forgotten which one it is -- they're fairly notorious, in any case) common to the black library that's well known for more or less crapping on the lore, iirc. Once you've got some titles, do the normal cheap-book thing -- scout used book stores, thrift stores, your local library, that sort of thing. Online isn't really an option if you're staying clean about it, at least insofar as official warhammer stuff goes (though, as noted, there's plenty of fanfiction/fanworks and whatnot floating around these days).
It looks rather like the black library prices their online stuff gorram ridiculously, so your best bet from a low-investment entry into the associated novels is probably going to be physical instead of online (barring the yarhar option, anyway), unless you just happen to get lucky and check BL when they're doing something charitable. Which is both fairly unlikely and may not happen for a while... plus there's no telling what they offer up -- it could very well be one of the junkier novels, or just snippets or whathaveyou.
Though if you're just looking for a good read instead of specifically WH40k stuff, there's pleeeeenty of stuff online these days -- fanfiction, original fiction, ebooks that have been released into the wild for whatever reason (there's a fair few authors out there that have first volume of trilogies and whatnot online, free, to hook potential readers), gutenberg, etc., etc. Perhaps look around and all that rot, heh.