I personally have developed a certain distaste for the setting. I'll admit the space marines are kind of awesome and I have a bit of fondness for the Eldar, but it feels like they go way out of their way to make everyone dislikable. I honestly I find the orks more sympathetic than most because they're simply an organism following their nature. The empire is an oppressive autcracy that worships a mere mortal and is violently xenophobic and intolerant. The Tau don't seem too bad until you learn they're also imperialists and favor a stiflingly rigid society as well. The chaos are omnicidal whack jobs and I don't like the idea that chaos is inherently bad. The Eldar at least aren't engaging in genocide and seem to be some of the least imperialistic and worship Deities that are neither omnicidal or mere mortals, but they created Slaanesh through sheer decadence. Then there's the orks. They may simply be organisms doing what they do but they are so entirely focused on war it's absurd. What irks me most is how the setting seemingly plays up the authoritarian, repressive empire as some kind of hero in all of this. They are the people I would want to fight against, screw the lore. Then there's the cultures the varying marine groups come from. They say so little about them that it disappoints me. Then there's the simple fact that the whole set up is so depressingly hopeless. There's a different between "dark" and simply soul crushing, nihilistic hopelessness.
When I first started learning about the setting I was intrigued and then came to develop a certain sense of disappointment as I learned more. The fantasy setting is far more tolerable for me. 40,000k has some interesting ideas, but the above mentioned aspects make it hard for me to get into it.
Sorry if that came across as overly vitriolic, but that's my thought on the setting.