Orks - special government form of WAAAAAAGH!!!!
Space Marine chapters, their own government forms
Various planets and segmentum sectors doing their own thing - one commonality between these various sectors (and the space marines) is veneration of the Emperor and service to the Imperium, with Imperial governors assuming total authority over all planetary factions
Rogue Traders, libertarian privateer explorers in space
Adeptus Mechanicus, technocratic theocracy, pythagorean cultists on crack
Ecclesiarchy, super galactic theocracy. Doesn't have that many core beliefs, adapting mostly to a planet basis, rather ironically their common canon is based upon the workings of Lorgar
Inquistion, militant (by 40k standards) theocracy
Tau - Enlightened police state (they don't really strike me as theocratic, especially since the Tau do not appear to understand things like the chaos gods as being gods for example, merely powerful foes)
Eldar - Survivalist byzantaboo Empire (they can't be theocratic because most of their gods managed to get murdered), space pirates or space amish
Necrons - deiocracy (those ruled by C'Tan directly), absolute aristocratic necropoligarchy (those ruled by immortal soulless skeleton Overlords), extradimensional leper colony (flayed ones) and AI murder worlds (shit happens). In the case of the Overlord ones, they're not a theocracy, being at war with their gods
Tyranids - deiocracy, but their god has multiple personality disorder and occasionally fights itself
Chaos space marines - some fit the full bill of theocracies, others are space pirates, others are like the space marines on crack (whatever fits, fits). Word Bearers rather notably seem to be the only dedicated theocratic proselytizing faction in 40k (that extends its proselytizing target demographics beyond species, civilizations and dimensions), which is probably due to their history.
Chaos demons - deiocracies, or in the case of the soul forge faction some sort of weird corporation
The only thing to learn is that necropoligarchy is a good word
*EDIT
Almost forgot the Dark Eldar
No idea what the fuck their government is
Some sort of nihilistic hedonistic BDSM oligarchy