The sixth edition Eldar introduced a new unit by the name of Wraithknight: a Humongous Mecha piloted by a sole Eldar…who just happens to have lost his/her twin, whose soul was kept in a Spirit Stone, which in turn powers the whole construction. As the time passes by, it is quite possible for the pilot to mentally merge with the construction, thus never able to be separated from it. Sound familiar?
Dark Heresy: Ascension has a quote by Vindicare Assassin cognomen-designate LIIVI, which in itself doesn't sound very weird, but if you snoop around fanon, you'll see that LIIVI also appears in the popular 40K Fan FicLove Can Bloom, which ironically is about a Vindicare Assassin named LIIVI who falls in love with Farseer Taldeer from Dawn of War: Dark Crusade.
The picture on the quote's page also shows a Vindicare Assassin and an Eldar Farseer who's obviously a woman, just to drive the point further.
One of the elite fighting forces in the Imperial Guard are know as the storm troopers, and most wear fully enclosed gas masked helmets.
The latest Imperial Guard codex states that some members of the older members of the Cult of Mars are "more machine than man".
In first edition, back when Warhammer 40k was Rogue Trader, they had a canon character named Obi-Wan. Not to mention the main protagonists of the setting are an Empire ruled by a morally ambiguous (extremist rather than evil) Emperor...
In the Blood Angels codex, there is a story about a Librarian defending a world from a Tyranid fleet. It specifically states that his "force can't repel a Tyranid onslaught of that magnitude."
Catachan Jungle Fighters are all Ramboes, from the huge muscles to huger guns to the lack of respect for authority figures, with a bit of Predator when fighting aliens. Oh, and red headbands are quite a popular fashion accessory.
Sly Marbo doesn't even try to hide it, being repeatedly referred to as a One-Man Army.
An uncharacteristically subtle one in the second edition of the Forge World supplement Imperial Armor Volume 2: War Machines of the Adeptus Astartes, so much so that it may have been a coincidence: the rules for the Spartan Assault Tank are on page 117.
There used to be a Dark Eldar character with black and white hair called "Kruellagh the Vile" (Cruella de Vil in 101 Dalmatians)
Ciaphas Cain is a combined Shout Out to both Flashman and Captain Blackadder. He even has a version of Baldrick (though their relationship is more amiable) in the form of Jurgen. The Cain books themselves are jam-packed with Shout Outs, including a lot of Punny Names.
Aliens are generally known as "xenos", but Tyranids have been referred to as "xenomorphs" before. The Imperial Guard have even been known to nickname the 'Nids as "bugs".
The entire story of Lord Commander Solar Macharius is cleanly ripped off from the biography of Alexander the Great.
In the 3rd edition Craftworld Eldar book, the section on the craftworld Saim-Hann has a footnote consisting of an Edit War about how to properly pronounce it that refers to the oft-fumbled pronunciation of Samhain.
Most of the Space Wolves fluff derives from either Norse Mythology or mythology concerning wolves from around the world.
It has been argued that the current biggest ork in the galaxy and ravager of a massively industrialized planet, Ghazkull Mag Uruk Thrakka, is a Take That towards Margaret Thatcher.
Many Imperial Guard regiments are basically the snazzy uniforms and laughable combat tactics of various periods of Earth warfare: the Praetorians are extremely disciplined, red-uniformed and pith-helmeted chaps with astounding mustaches from British armies, Krigeres are World War OneGas Mask Mooks take Up to Eleven, etc.