>I cant help but think that I'm missing a lot or I'm somewhere in the middle. Please help.

Horus Rising is part of the Horus Heresy series, which is a set of prequel books filling in a story we've known the big plot beats since the 80s(?).

>Space oddessy

Forges of Mars is a self-contained story that'll introduce you to various factions.

>supernatural, mysteries

If you want to go off the deep end, anything by Peter Fehervari. However, you really, really should not start here. His books are weird.

>heist

Shroud of Night is a pretty good heist book.

>historical

You might get a kick out of The Macharian Crusade. The first book is being rereleased, so it's a more affordable price.

>survival

The Night Lords Omnibus is often recommended. Do you want to sympathize with superhuman space terrorists? Because you will.

Alternatively, the Gaunt's Ghost series is basically Sharpe in space.

Helsreach is the story of a city's last stand, following the World's Angriest Man.

The Fabius Bile trilogy follows a mad scientist who tells a god to their face that they don't exist.