Devastation of Baal (The story of how the Blood Angels needed Primaris Marines)
Ashes of Prospero (The story of how the Space Wolves got a load of Heresy-era toys)
Crusade & Other Stories (The other stories are recycled from elsewhere)
Dark Imperium (The story of how the Ultramarines got their Primaris Marines)
War of Secrets (The story of how the Dark Angels got their Primaris marines)
Imperator: Wrath of the Omnissiah (with Cassus Belli in it, there's no way this can suck, right*?)
Shroud of Night (The story of the Alpha Legion being sneaky)

The only one I've actually read is
Watchers of the Throne: The Emperor's Legion (The story of how the Custodes and Sisters of Silence became playable factions)
It's very good indeed. I'd recommend it.
(Even if the Custodes on the cover have the wrong colour helmet plumes...)

*Flashbacks of Cardinal Boras featuring in Priests of Mars
Why McNeill, why..?