40k is probably the darkest setting ever created. I mean, you've got a horde of omnicidal robots that are awakening to destroy the galaxy, a vast swarm of omnicidal alien bugs trying to eat the galaxy, the forces of pure evil pouring out of a rift in the dimensions, an entire species that's out to break things because it's fun, a race who'd gladly sacrifice thousands of any given species to save a handful of their own and go out of their way to set up elaborate plans, the splinter sect of that race that's just as talented but dedicated to torture and slaughter, an alien federation bent on aggressive expansion and armed with uber tech, and finally a massive bureaucracy founded on lies and sustained by the blood of billions that not only has to fight all of the aforementioned threats but has to deal with rebels and heretics at every turn. Yeah, it's that bad. In fact, according to recent fluff, it's getting worse. Now that I've set the mood, I love it. The factions are diverse (Except for the polar opposites), well thought out, and each one has a unique style of play. Now, here's a list of pros and cons:
Engaging universe and endless opportunities to add to it yourself. The Imperium actually loses track of planets, so who could call you out on making up your own planet? No one.
Fantastic miniatures. Each one is well made and highly detailed.
The game itself is fun to play, and there's really nothing quite like seeing your swarm of minis lined up against the other guys swarm of minis with scaled terrain everywhere.
It's GW's cash cow, so it won't suffer from neglect.
This is nothing for you old wargamers, but being drawn in from a videogame setting, I absolutely love the freedom to do pretty much whatever I want with my army. Especially with the Orks.
Price. You'd be saving money by being a drug addict. Also, any army that is primarily metal will cost even more. This means you, witchhunters.
Diffiicult to find. Unless you live in a major city or have been blessed by the Random Number Goddess, this could prove impossible to find outside the internet.
Skill with paints and glue required. You won't get much respect if you have a plastic gray army, but sometimes it may be better to go that route if you can't paint.
Overall, I'd have to say this is a great game. I highly recommend it!