(SPOILER, can't hide due to list: Alpharius dies in this books) Praetorian of Dorn: Terra is attacked by the Alpha Legion way ahead of Horus and how the Imperial Fists defend against it.Also gives more information about the Human Webway project. Path of Heaven: What the White Scars had to endure and how they could go to Terra despite the Ruinstorm.Eye of Terra - Aurelian: Novella about Aurelian, specially part two of it (The Pilgrim) describes how Lorgar Aurelian became the traitor Primarch.Vengeful Spirit: The Battle for Molech (How Horus got the favour of Chaos and become their tool).Unremembered Empire (Imperium Secundus and the base for the Codex Astartes).Deliverance Lost (Raptor Project of Corvus Corax and how the Alpha Legion made sure it didn't succeed).Prospero Burns (How the fate of the Thousand Sons was sealed).

The First Heretic (How Lorgar fell to Chaos).A Thousand Sons: All is Dust (How Magnus was tricked into service by Chaos).Mechanicum (How and why some part of the Mechanicum fell to Chaos).Legion: Secrets and lies (How Alpha Legion fell to Chaos and why they're considered loyal to the Imperium).The Flight of the Eisenstein (How the Imperium learnt of the Heresy and how they reacted).Galaxy in Flames (Isstvan Dropsite Massacre, essential to understand later references).False Gods (The root of the Heresy and how Horus fell to Chaos).Horus Rising (Get an idea of Horus and how he ticks).Some books that (IMHO) are essential to understand the Horus Heresy: So, I'd heavily recommend you to check the synopsis on the books by yourself and consider if you think it's worth reading. It is very difficult to give you an answer on which books to read and which to skip as it's heavily dependant on what subject of the Horus Heresy interests you and what you consider essential knowledge. Books of the Horus Heresy on Wikimedia, recommended books are highlighted:

Horus heresy order