Which of the novels out would be best to read to give me and my players a good firm grasp on this world? I ran a game a few times and we seemed to be missing something. Thanks for the help!!

Matthew Farrer's Enforcer omnibus is pretty much a must-read. Gives a good overview of everything from Imperial culture in general, the clannish nature and unique rituals that can arise in a Rogue Trader's fleet, to the structure and strictures of both the Adeptus Arbites and the Adeptus Astrotelepathica. The Ciaphas Cain novels offer a more light-hearted view of the Imperial Guard, but offers interesting perspectives on several xeno species.

Perfect, thank you!!!

Unrelated to Rogue Traders, specifically, but Eisenhorn is an amazing look at the politics and intrigue of the Inquisition. Solid background lore.

The Eisenhorn series is fantastic for people interested in Dark Heresy, or anyone who wants to put the Inquisition into their game.

I'll second the recommendation for Shira Calpurnia because the whole series is excellent, but the second book in particular is a Rogue Trader political affair. There's also the Rogue Trader series by Andy Hoare that starts with Rogue Star that is about an out-of-luck Rogue Trader family trying to reclaim their glory. The family itself appears in the Rogue Trader books, so it's another good piece of background to read.