I don't typically read much fiction, but I have found a few book and series that I really enjoy.
I just started re-reading the Honor Harrington series of books by David Weber. These books represent the kind of military science fiction that I love to read. I like how Weber develops his characters, and the frequent asides he takes to explain the technical aspects of his universe. Give his first book, "On Basilisk Station" a read if you are looking for a taste. You may find yourself powering through the whole fourteen book series like I did.
I've never been into the Warhammer 40k books. I've tried picking one up now and again, but I never seem to get past the first chapter. As a devotee of scientific skepticism, I suppose I have trouble thinking of the representatives of a backwards fascist galactic empire as "the good guys". That being said, I have heard that the Dan Abnet books (Gaunt's Ghosts?) are excellent. I may have to check those out once I finish the Harrington books.
Here are some other books from my bookshelf that I recommend highly:
A Game of Thrones by George R.R. Martin - Martin is exceptionally good at getting you attached to his characters (then killing them off with grim regularity). The whole series is excellent.
Daemon (book 1) and Freedom TM (book 2) by Daniel Suarez - Don't be misled by the title, these books are exceptional techno-thrillers with a strong dose of social commentary. Both are great reads.