In reply to Gilles and Horus
My personal recommendation is starting with a imperial guard series like gaunts ghosts or the lay chancers. They will give you a perspective of the average human. After that a space marine or a inquisition based series would be wise. The blood angels series is one i recommend due to its strong imagery and good story. After that it is up to you.  The list i have is a expanded version of horus's answer minus the few i have not read.

Eisenhorn / Ravenor: Covers the Inquisition and the different Ordos. My personal favorite was the Ravenor series.  

Ciaphas Cain: Hero of the Imperium / Ciaphas Cain: Defender of the Imperium  by Sandy Mitchell:  My one of my favorite series. The plot revolves around a hero of the Empire who believes himself to be a coward. Very light hearted compared to other series.

Ultramarines: A standard space marine series with themes of honor and duty. A great world but the characters are a little dry. The  enemies are chaos and tyranids. 

Grey Knights: I also enjoyed this series. Covering the grey knights and their wars against deamons. It covers the inquisition and its methods and it s relation to the grey knights. 

Gaunt's Ghosts: an imperial guard series, among my friends it is either hated or loved. This series is considered the bread and butter of the imperial guard stories. The overall feel is that of band of brothers or another world war 2 series. 

Blood Angels: A great story about a pair of brothers in the blood angel legion. I read the omnibus and i would recommend you do that also, there is a short story that reveals a another dimension the antagonist. 

Last Chancers: This novel is an imperial guard novel that is about a penal legion and the main character Cage. Covering chaos, the tau, and 'nids. Truly a good series.

What is the best place to start Warhammer 40k?
In World War Z, Brad Pitt plays the role of a former UN investigator named Gerry Lane. When are we first informed of this fact?

When I watched the film, I spent half the movie wondering who he was that he could get a helicopter to specially ferry him and his family out of the city. It was only when he spoke to the naval honcho that I found out that he was a former UN man. Is this the first instance of this information being revealed to the audience?

I can remember a conversation about his job when the Lanes are having breakfast. But I don't recall the UN being mentioned.
