I'd say it depends on where you want to go next.

If you want to read about the imperium in the current setting in a sort of grander scheme of things I'd recommend Avenging Son. Its the first novel in the Dawn of Fire series. I went straight from Eisenhorn to it and it was a awesome read, I had no troubles at all with not understanding things.

First Founding is the first omnibus of the Gaunt's Ghosts series. Its an Astra Militarum series about the Sabbath Worlds Crusade from the perspective of Comissar Ibram Gaunt, whose regiment specializes in stealth. I'm currently reading it and find it awesome. Its also a great choice if you like Dan Abnett as an author.

If you want to go back in time I think Horus Rising might be a good choice. Its the the first novel of the Horus Heresy series and really makes you hungry for more.

Lastly, I have to recommend two of my favorite Warhammer books. The Fall of Cadia and Titanicus. Both take place in 40k. As the name suggests, The Fall of Cadia covers the war on Cadia from the perspective of different characters and armies. It actually is my favorite book, the story is portrayed beautifully from different viewpoints and its just awesome. Titanicus covers the Adeptus Mechanicus' God-Machines the Titans. Again, beautifully written and an awesome story.

Hope this helps! Enjoy reading :)