Author Sandy Mitchell has created a fantastic series that, for once, doesn't focus on the Grim Dark aspects of 40k. Yes, it is present, but Cain's adventures take on an almost light-hearted tone at times. The books affectionately lampshade the universe they're set in quite a few times (One of the most disturbing races almost becomes comedic), while still remaining true to the 40k universe.
The stories are written as though they were Cain's Memoirs, another departure from typical 40k novels, and are in a mostly non-sequential order. The latest three have developed a loose story arc to them (Set over many years, of course), so they should probably be read in order.
As a character, Cain is another surprising departure from the typical 40k hero. He describes himself as cowardly, egotistical, and a general contradiction of what an Imperial Hero should be. With this in mind, he manages to perform more feats of heroism almost single-handedly than most regiments of Guardsmen do in their entire service records. Another interesting aspect is being a Commissar who isn't hated by his troops. In fact, many of them are quite friendly towards him. However, being a 40k character, he still kicks all manner of ass. From Xenos to Traitors, all are welcome.
One final aspect I'd like to look at is it's ease of reading for those who aren't familiar with 40k. Very little prior knowledge is required, and a good many things are explained via footnote, in story explanation, or by example. In fact, this is the series that finally sold 40k to me. For those of you out there who're looking for a good 40k, or even general sci-fi, you can't go wrong with Ciaphas Cain.