I like the universe, but also don't play the tabletop game. I tried Warhammer Fantasy (have a bunch of old stuff for it gathering dust) but never really got into it, and while the Warhammer 40k universe is interesting (and I guess it's a more successful game) the TT version just never appealed to me for some reason.
I don't think I have a favorite faction really. The Tau strike me as not fitting in too well on a lot of levels, The Space Marines are cool but overdone, The Imperial Guard is pretty cool, but I don't think it's really viable in a skirmish-level based game. The Sisters Of Battle are neat, but don't seem to have ever been developed paticularly well, and they seem kind of redundant with Space Marines on a lot of levels given the whole focus on fanaticism.
Honestly, I think the 40k universe works better for telling stories on a smaller scale. I enjoyed the books about the Inquisition like "The Eisenhorn Triology" and the "Ravenor" series, and some of the "Necromunda" novels were okay. "Gaunt's Ghosts" was pretty solid overall as well, but had it's ups and downs. I could mention others, but oddly I think it's a far better series of books (at least when I read more) than a TT game. Of course that's probably heresy to most people given where it started.