I play both (And Lord of the Rings warhammer!), but I prefer 40k. Although, maybe thats just because I'm more of a sore loser than I think- 12 fantasy matches so far, 10 losses, 2 draws. 40k, I have a much, much higher sucess rate (and I'm practically unbeaten at LOTR warhammer, not that that matters...)
Still didn't stop me getting a large Chaos Warrior and decent Dwarf army...then again, it's never going to rival the size of my Eldar and Chaos Marine armies. (And Dwarfs and Mordor in LOTR!...I'll shut up about that now)
But still, I just find 40k more fun- plus it's easier for me to get my head around the tactics (and rules) than fantasy.