Ooh, perfect 40k game? Honestly, it would be something that would probably be better off as several different games. The core conceit I'd like to see from an ideal 40k game would be something along the lines of Distant Worlds, except with even further zoom-in.
Sandbox-style thing where you can choose to control as much or as little of the faction you're in control of as you like, with what amounts to extra game modes, dungeon keeper possession style, for individual unit control.
Slightly further out would be homeworld (for space stuff) or Attack of the Paper Zombies (for ground stuff) style control for individual battles/combat scenarios. Probably throw in some Sim City-styling and whatnot for potential planetary governance stuff (which would be radically different if you were playing, say, Ork, Necron, or 'Nid, and probably still significantly different if you were governing over, say, a hive world instead of a garden one or somethin').
Massive scale strategy where you can play anything down to an individual guardsmen if you wanted to, as well. Overarching sandbox/simulation with planetary/city wide, individual conflict, and single unit modes folded up into it.
Course, what that actually amounts to is wanting a massive 40k 4x game, a 40k citybuilding game (You have no idea how much I want one of those, actually. Potential to be so fluffy ;_;), a Homeworld style space RTS game, a scaled up (armies, damnit) DoW sequel, a RTT squad based game (DoW2's closer to that, but I'd prefer something like AotPZ or its sequel thing, Infested Planet), a space sim game (though I'd probably prefer something 2D, there, personally -- along the lines of Transcendence or somethin'), and a FPS and/or RPG and/or Action game.
It's just, if we were talking eye in the sky impossible madness, I'd want all of that to be the exact same game. Full scale, top to bottom immersion.