Citadelnote the company that makes all of Games Workshop's gaming products, paints, and hobby tools has several paints named after 40K characters or races, such as Necron Compound (a silvery drybrushing paint) and a red paint called Mephiston Red, after the Blood Angels character.
Thanks to Dawn of War: Soulstorm, "METAL BOXES"note METAL BAWKESES? is now a common catch-all term for tanks. 'Spess Mehreens' and 'Emprah' are often spelt and spoken in line with their famously odd pronunciation in the same game.
Sisters of Battle are 'Bolter Bitches' or 'Nuns with Guns'.
Failbaddon the Despoiler: thirteen attempts to bust out of the Eye Of Terror and destroy the Imperium, and despite being billed as the worst of their foes, every attempt has failed. Sometimes known as Failbaddon the Armless, after his tabletop model's reputation for having its arms break off all the time, or "the incompetent fuckwit", for his incompetent fuckwittery.
Shooting phase for the Guard is unofficially called 'the laser light show'. Similarly, lasguns are called flashlights or laser sights, while flak armour is either cardboard or T-shirts. note A common joke amongst the fans: What do you call a lasgun with a laser-sight? Twin-linked!
On the flip side, they also have the "11 Barrels of Hell" Baneblade (which does indeed have 11 barrels).
"Pansy Space Elves" and "Scary Space Elves" are common nicknames for the Craftworld and Dark Eldar, respectively; and used as often by Eldar players themselves as by players of other races.
Ork terminology is also popular, given their rather laconic approach to vocabulary: a melee-oriented army is choppy, a ranged army is shooty (or has lotsa dakka), enemies referred to as spikeboyz, panzees, 'umiez, greyskins, etc.
Several lists have these kinds of names too. Like the Flying Circus (Any army with a disproportionate amount of flying monstrous creatures) or Screamerstar (a Tzeentchian army based around a lot of Screamers and Heralds of Tzeentch that is basically a flying deathstar unit that no one can put down).
Old Shame: GW regards the Squats and Zoats as "things better left forgotten." However, hints of them do pop up in new material from time to time...
Promoted Fanboy: Matt Ward is an infamous example. Every codex he's touched has had its fluff tortured, turned into Mary Sues, turned into a tabletop sweeper or any combination of the three. The only codex that he wrote that isn't universally despised is the Necron codex, and that's because there were two editors to keep him from breaking the game and the fluff. Despite that the Necrons still had their ancient Egyptian influence heavily Flanderized. The Sisters of Battle codex that he wrote had the opposite of the usual problems: the lore was solid, but the rules (written by Robin Cruddace) gave them significant nerfs.
Screwed by the Lawyers: Games Workshop is notorious for the zealotry of their legal team. Anyone making anything even vaguely reminiscent of Warhammer models - even fan conversions for the game - can expect to get a Cease-And-Desist letter in the mail. Oh, and they also attempted to trademark the name "Space Marine" and their failure to do so led them to change the name of the Imperial Guard to the more-easily-Trademarkable "Astra Militaris".
Shrug of God: Games Workshop has deliberately left everything regarding the two "missing" Primarchs open for fan speculation. Ditto for other major characters, like Commander Farsight.
Urban Legend of Zelda: A common internet theory stated that Games Workshop received/continues to receive royalties from Blizzard, as the latter used GW's character designs in WarCraft and StarCraft. A variant claims that StarCraft began life as a Warhammer 40,000 game until Games Workshop pulled the license, leaving Blizzard to turn it into a standalone title. While both parties admit that Warhammer and Warhammer 40,000 did provide artistic inspiration, there was never a formal agreement in place between the two companies. Games Workshop developers were rather pleased that someone had liked their work enough to imitate it, so they opted not to press for royalties (this was back in the days before Games Workshop became known for the aggressiveness of their legal team.)