The Space Wolves are the closest thing to a Sane Man in the galaxy. Consider: after the first victory on Armageddon, the Inquisition starts rounding up civilians into forced labor camps and shooting down Imperial Guard ships, all in the name of preventing the knowledge of Chaos to spread, the whole thing masterminded by a spectacularly inept Inquisitor. The Space Wolves who had fought alongside these people did not take kindly to their eradication, and used their ships to transport Guardsmen, refusing to respond to Inquisitorial and even Grey Knights fire. The whole thing ended up in a cold war that almost ended in open war with the Wolves, their planet-fortress severely damaged, and a Grey Knights Grand Master dead.
In the literal sense, a Navigator in the warp. Everyone else sees visions from their best dreams and darkest nightmares... a Navigator sees his path, the figurative lighthouse, and the various terrain hazards (such as daemons). He sees them in metaphorical terms, yes, but he can actually parse it in a functional way while everyone else is busy gibbering.
According to the Eldar philosopher Uthan the Perverse, the Orks of all people are this.
"The Orks are the pinnacle of creation. For them, the great struggle is won. They have evolved a society which knows no stress or angst. Who are we to judge them? We Eldar who have failed, or the Humans, on the road to ruin in their turn? And why? Because we sought answers to questions that an Ork wouldn't even bother to ask! We see a culture that is strong and despise it as crude."
Possibly the Tau Empire. The only faction that uses futuristic technology with futuristic tactics (no chainsaw sword-fights, medieval power-armour and pointless meat-grinder assaults and last stands for them, thank you very much), and the only faction that isn't ruthlessly dogmatic or xenophobic to the extreme. Although Subverted in that it's implied that their progressive Greater Good ideology is profoundly naive and will eventually drive their species to extinction. In the grim darkness of the far future, mindless zeal and irrational hatred is what keeps you alive, while tolerance and open-mindedness will get you killed. That should tell you everything you need to know about what kind of universe this is.
Strangely, given the role his civilization plays, the Emperor of Mankind (at least, he tried):
Explicitly told his people to be atheist to prevent the formation of gods from the warp, including himself. Kept the reasoning secret (from everyone) because he knew someone would be dumb enough to do it on purpose if everyone knew. Unfortunately, Failure Is the Only Option in this case, as the gods of Chaos are not sustained by prayer but emotion: to kill them off, you'd have to arrange for every sentient species to stop feeling rage, lust, hope, love or despair (or kill every sentient species, which is what the Necrons were aiming for).
Made his children strong enough that they couldn't fall to chaos unless they went willingly, then gave them riches, power, and wisdom so they'd have no reason to do so (he wasn't counting on terminal stupidity or terminal diseases, unfortunately).
With godlike power to shape the universe in any way he saw fit... decided to focus on logistics and navigation for his empire above all else. Even over the actual war part of his crusade.
Designed his empire to continue functioning after his death, even though he was functionally immortal. Made sure he had an heir (Magnus) actually fit to take (as in, 'install self into') the throne (though that ended poorly, it was still a good idea in a universe where almost every idea anyone has is terrible).
De-centralized the knowledge of the greatest technical achievements of his age using super-blueprints on various planets so that no one source of knowledge could be corrupted and screw everything, if the STCs were him.
Generally built an empire that's still running 10000 years after his death despite pretty much every single citizen with even a modicum of power being either too stupid to imagine daemons exist, stupid enough to know they exist and make deals with them anyhow, or literally mind-shattered insane.
Ciaphas Cain has an element of this trope as well. Everyone else can't wait to rush off into battle with the latest horrifying enemy, but he wants to save his own skin.
Cain himself realized that while Summary Executions could restore morale in a pinch, those Commissars that do so (especially if they're trigger happy) tend to not last long. They either get lynched by their own unit or are "accidentally" killed on duty conveniently when no one's around. Cain found it better to reward competence (usually with an extra booze ration) and to stand up for his men to earn their respect. Tellingly, he's one of the few (if not only) Commissar to actually make it to retirement, and made a point of telling this to the future Commissar Cadets.
During the Horus Heresy, most of the Traitor Legions had a few people who kept their marbles and remained uncorrupted, at least until the chaotic elements got around to murdering them in one way or another - Loken and Torgaddon for the Sons of Horus, Saul Tarvitz and Solomon Demeter for the Emperor's Children, Garro for the Death Guard and so on.
"In an hour of Darkness, a blind man is the best guide. In an age of Insanity, look to the madman to show the way." This saying has been part of the game's lore since the Rogue Trader days.
BattleTech: saKhan Connor Rood is this for his Clan, Ice Hellion. While the rest of his Clan and his Khan are all Leeroy Jenkins, Connor actually takes his time to think and make some use practical and pragmatic decisions to save whats left of his Clan, when they are getting stomped by Clan Jade Falcon, and Hell's Horses.
In Dungeons & Dragons, the character with the highest Wisdom is a party is likely to become this by default, as Wisdom is the measure of a character's common sense and egotism. The same applies to gameplay, as less wise characters such as Barbarians or Knights will fail to notice the obvious, including traps, ulterior motives and just about everything else, whereas characters with higher Wisdom such as Clerics or Druids will be much more invested in their surroundings and in the situations they find themselves.
Intelligence often plays this role as well, since it's the stat for anything that involves taking clues and fitting them together. Additionally, the variants of the system with skill-purchase systems make a high-intellect character potentially better at everything, even tasks for which his statistics aren't suited (a high-int character might have spare points to train sense motive or spot, for instance, and be better at both than a wisdom character with fewer points to distribute). Finally, intelligence bonus translates directly into understanding a larger number of languages, meaning that while the rest of the party is speculating on what kind of dark god was worshipped in this ancient temple, the int character might have just read a sign and realized it's actually an ancient marketplace half an hour ago.
In the Old World of Darkness and its spiritual successor the New World of Darkness you can take merits which make you this. Everyone around you sees a werewolf transform, panics, and remembers it as a dog, sees a Vampire bite someone and dismisses it as teenagers making out, and has a Weirdness Censor so strong that magic actually unravels itself in their presence (and then they forget it). You, however, are literally the only person you know mentally capable of adding two ones and getting two instead of one.
Note that, this being the Worlds of Darkness, this... doesn't usually work out very well for the people with the merit.