There are many Diablo tie-in novels out there, but it can be confusing as to what order they should be read in. This guide should help you. I'm putting them in chronological order (based on Diablo history, not book release order). I got most of this information from the Diablo wiki.
The Sin War Series The Sin War series is set several thousand years before the events of the first Diablo game.
Miscellaneous Diablo Archive is a collection of 4 of these books, but it doesn't appear to be in Diablo history chronological order.
<product no longer available>
was released in conjunction with Diablo 3, but since it isn't a novel, I'm including it here in the miscellaneous section. The book presents itself as an actual book from the Diablo universe. It has tie-ins to Diablo 3 though, so it should be ready towards the end of your Diablo reading order.