I started reading the short stories in the Black Library's Hammer & Bolter E-zine. I picked them up originally because I wanted to read the next book in Ben Counter's Soul Drinkers series. It's called Phalanx and is being serialized in Hammer & Bolter with two chapters in the first issue and one chapter thereafter. I don't want to ruin the story for anyone, but if you're a Soul Drinkers fan, it is well worth it to buy these. They're only about $4 US each and come with a number of extra stories - although I'm really only interested in the Soul Drinkers ones! There was a great Deathwatch story called Exhumed featuring a Lamenters Furioso Dreadnought... pretty cool if you're a Lamenters fan. I'm definitely going to paint a Lamenters Furioso named Chyron at this point!
Check it out. I've been reading them on my Nook. E-Readers are awesome. Buy one.
The Black Library - Hammer & Bolter