You get a lot out of rogue trader, it’s a pretty solid start. As for the books, I would not start with the Horas books because despite the fact that they are canonically the first books you kind of need to know a bit to understand what is going on.

Eisenhorn and Gaunt’s ghosts are to two best introductions. Not a lot of xenos in those ones, but you get to see the scope of both the Imperiam and Chaos forces.

Also, it’s okay to cheer for the ghosts.