I don't necessarily love 40k for its grim dark. War is pretty grim dark period when it's done honestly. I like 40k for a lot of reasons, but I'd say the wealth of lore and detail that has built up over 20+ years is the biggest. The way, as a sci-fi universe, it twists themes to create systems and hierarchies and cultures. As a friend of mine puts it "that guy working in a manufactorum, etching the Imperial Eagle on bolt shells 18 hours a day, as his father did before him and his before that." Or a whole book about how "society" functions on a Chaos World.
I've also liked how, as time has gone on and more lore is compacted on top of existing lore like a Hive city, the difference between truth and legend lives inside the lore as well outside it. You can be that crazy guy railing about the Sensei, and you're just as right as the guy that believes they don't and never existed. 40k deliberately leaves itself open to interpretation in a lot of places and I've liked the sense that the boundaries are not really known, unlike other game/story worlds where you can pretty firmly put your hands on the edges of it. Sadly this is getting a little less true with their emphasis on the Horus Heresy now, and while it's cool to see the Universe as it once was, I think making full fledged characters out of the Primarchs (and even the Emperor), complete with speaking parts, has kind of diminished the mythology for me a bit. I don't necessarily need the 40k storyline to move forward. I just need a cool setting to imagine things in.
As it is, just like in the universe of 40k, GWS has built the entire structure of their game world on a decaying edifice. Which is why they can't really move the storyline much further. You wipe out the Imperium or kill the Emperor or have Chaos "win" and it leaves a big gaping void not only in their visuals, but in most of the world context. It's why the Empire has never vanished in Fantasy. Because what's a fantasy world without castles and knights and shit. GWS's policy has always been additive more than subtractive. The setting primes us for someone "getting subtracted", but can't ever really deliver. The Heresy was 40k's big moment of subtraction, and everything is has basically been 10,000 of aftermath.
And now, I'm about to deploy 1000 points of Blood Angels into a 4 to 5 way slugfest. I'll post some pics later.