In 'The Knight of Talassar', Sir Hekhtur is a main character. He is a noble and skilled Imperial Knight who has to face various challenges. His character is well - developed, and we see his growth throughout the story.
Well, in some of the novels, the pilots of the Imperial Knights can be considered main characters. For example, in 'Imperial Knights: Codex Supplement', we follow the story of a young pilot as he learns to master his knight. We see his training, his first battles, and how he comes to understand the true power and responsibility of piloting an Imperial Knight.
One great one to start with could be 'The Knight of Talassar'. It gives a really good introduction to the Imperial Knights, their lore, and their place in the Warhammer 40k universe. It has exciting battles and interesting characters.
One of the main characters is Ciaphas Cain. He is from the 'Gaunt's Ghosts' series. He is a bit of a reluctant hero, always getting into and out of trouble in the most interesting ways.
In 'Gaunt's Ghosts', Ibram Gaunt is a main character. He's a complex figure who has to balance his military leadership with his commissarial duties.
In many of the novels, Asdrubael Vect is a significant character. He is a powerful and cunning leader within the Dark Eldar society.
Azrael is a main character. He is the Supreme Grand Master of the Dark Angels and plays a crucial role in leading the chapter.
Marshal Helbrecht is a main character. He is a powerful and respected leader within the Black Templars. His decisions often shape the course of their crusades.
Mephiston is also very important. He is a Librarian with extraordinary powers. His character is complex as he battles with his own inner demons while using his psychic abilities to aid the Blood Angels in combat.
There are many main characters. Horus, as I said, is a central figure. The Emperor, of course. Then there are the various primarchs. For example, Sanguinius, the angelic primarch of the Blood Angels. He has his own story arc of loyalty and the struggle against the heresy. Also, Fulgrim of the Emperor's Children. His fall to Chaos is quite a significant part of the narrative. And Guilliman, who later plays a huge role in trying to hold the Imperium together after the heresy.
The Empress herself is of course a main character. Often, you'll also find Space Marines, as they are a significant part of the Warhammer 40k universe and interact with the Empress in various ways. Imperial Guardsmen may also be present, depending on the plot of the fanfiction.
I don't know for sure, but it could be the Space Marines. They are often central characters in Warhammer 40k stories.