Usually I recommend the Eisenhorn books as a great entry into the universe. Imagine Sherlock Holmes in space, but it's like Arthur Conan Doyle was a fan of Blade Runner, Exorcist, and Dune as well. I personally got hooked on the art first, and 40k Gallery is amazing for that.
Now to answer your actual question: it's hard to pick a coolest, but definitely in the top tier for me is Sanguinius. He's a demigod nearly unbeatable in war who nevertheless ends up being one of 40k's greatest tragedies. And his art is AMAZING.