I don't think they have any kind of omnibus so far (I doubt they will ever have, since each volume is quite thick, but hell cheap, anyway), but the Wiki page have they listed in order of release/reading:
http://en.wikipedia.org/wiki/Horus_Heresy
Keep in mind that it doesn't mean you will need to read all of them, or respect that order in some cases. Some books deal with isolated events during the HH era, or provide some background of a faction. If you are a fan of an specific chapter, and know the overall stroy of them, you can read some books directly, like Fallen Angels (about the Fallen traitor sect of the Dark Angels) or Mechanicum (Adeptus Mechanicus) and Legion (Alpha Legion).
Tales of Heresy is a VERY COOL collection of short stories, that can be read anytime. It would be a very good introduction to the HH series, IMO. Specially if you know who Custodians and Sisters of Silence are
Anyway, Horus Rising is still a safe bet, cause it presents the setting, the overview of the galaxy and the Imperium at that time, etc, what will make the other reading easier.
I know for sure that the first 4 are directly connected and need to be read in order.
And get Space Marine from their Print On Demand section. A classic, one of the first 40k books ever released, full of stuff that is not canon anymore. One of the best BL books ever made, you just can't miss it!
Tales of Space Marines and Heroes of the Space Marines are cool collections of short tales as well, but not Heresy related. I recommend.
And ALL 40k players NEED to read the Ciaphas Cain stuff. The best 40k comedy you can get. The best BL book series IMO.