I'm a huge fan of the universe. I read the novels, play the video games, and I've been known to spend hours reading factoids on the wiki sites. Hell, I even got my hands on the original Rogue Trader rulebook once just so I could see how much Warhammer 40k has changed (no Chaos, Squats, 80's punk fashion...it certainly was a wild, untamed IP back in the day). Despite my fandom however, I've never played the tabletop game. It just doesn't appeal to me.
I tend to root for the Imperial Guard myself. It takes a special type of courage (or coercion) to fight the various horrors of the Warhammer 40k universe with little more than a flashlight and T-shirt. Their tanks are awesome as well.