In Dark Heresy you play the acolytes of an Inquisitor. Drawn from all ranks of Imperial society, you work against the forces that would threaten the Imperium ... the mutant, the heretic, the alien, the witch. You have the power of the Inquisition behind you, so in theory at least have the ability to call upon anything up to and including an Exterminatus (destroying an entire world).
You seek out and destroy cults and threats to the stability of the Imperium, generally working from the shadows. Typical characters could include assassins, ex guardsmen, sages and techpriests.