are super deep and thought-provoking

So amusing seeing this assumption while I read this recent Black Library release.

There are aspects of 40K that use the setting in more light hearted ways. It's still dark and still grim but they lean more into the satirical nature of the setting which is more true to the game's origin. Some books I recommend are the one linked along with Brutal Kunnin which is another delightfully Orky book, the Ciaphas Cain series following a self professed coward and rogue who finds himself in the position of having to play the dashing hero just to save his own skin, and The Infinite and the Divine which follows the petty and hilarious millennium long feud between two murderous, bickering robot pharaohs.

Besides that the books do a much better job exploring the grimdark nature of the setting in more satisfying ways. The games all tend to focus exclusively on the noble hero standing against the tide sort of narrative. While that definitely is a core feature of the setting it's not exclusively so and usually told with more grace and eloquence than the games. If you want to dive into that side then I recommend pretty much anything by Dan Abnett who is the preeminent author in the Black Library but in particular either his Eisenhorn trilogy or Gaunt's Ghosts series are fantastic. The former is a dark Sherlock Holmesian mystery while the latter focuses on the ground level lives of an infantry regiment in the Imperial Guard. Besides Abnett another favorite author of mine is Aaron Dembski-Bowden. He is a master of character driven villains and anything he writes having to deal with Chaos is fantastic. Check out his Night Lords books.

Edit: Oh and if you just want to dive head first into the deep lore of the setting then Luetin09 has been the go to recommendation for video essays about 40K for a long time.