Having recently read this whole series, I felt inclined to share my thoughts with the 40kOnline community.
This collection consists of 5 novels in 2 volumes. I really think getting them all at once like this is the way to go. There is a large, fairly linear plot that goes through all 5 novels. You'll want to read them all, and in order. These collections also contain some extra commentaries by the author(Mike Lee) that I enjoyed. He explains how he invented Malus and some of the thought process behind his development alongside the coauthor Dan Abnett.
The books cover different facets of dark elf society as Malus travels through pretty much all the different areas of their lands. You get a nice feel for how the dark elves function, why their so evil, what the different cities are about etc... The story is truly epic. Not to spoil anything, but it moves from extremely local, petty action to massively important events including some big names in the warhammer universe.
Malus himself is a great character. He's pretty much your typical dark elf, but more so. Mean, tough, and scrappy. Very much an anti-hero as he always looks for the cheap shot or quick fix to any situation, naturally paying for it later.
The books are a wild ride as Malus runs from one precarious no-win situation to another, creating new enemies to deal with old ones. There are some recurring characters throughout, but don't get too attached to anyone as the books are very gory. Enemies and friends die unexpectedly or swap sides, keeping the reader guessing throughout.
I really liked these novels. If you have even a passing interest in the dark elves or chaos fantasy armies (also featured prominently in these books), you will not regret picking these up.
The best part is they are cheap, amazon has them for under $10 each...