The series is written by different writers in non-lineral fashion, only few of the novels have to be read in order - first four books which are dealing with the events leading to the corruption of Horus himself, and then two books concerning Dark Angels. So read "The first heretic" first if you like, it's the earliest in the heresy's timeline anyway. I'd suggest that you start from the book one ("Horus rising" - which is in fact Lovecraftian-like horror with space marines) to fully enjoy the series, though.
What appeals to me the most is that in most of the novels of the series the writers tend to create complex characters with rich background, with doubts, hopes etc just to have them betrayed, brought to their knees and then ripped to shreds along with their loved ones. Be it main protagonists or minor characters who appear only to be slaughtered. Like in this tiny bit from book 14: "A Thousand Sons" by Graham McNeill:
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The northern Palatine Guard deployed on the edges of the burning port, occupying the high parapets of overlooking libraries and galleries of the Nephrate district. Their commander, Katon Aphea, was the heir apparent to one of Prospero’s oldest families, a young and gifted officer with great potential. He anchored his defence on the Caphiera Tholus and positioned his troops with a tactical acumen that would have been lauded at any Imperial Army scholam. Leman Russ and his Wolves overran Aphea’s position in less than two minutes.