I am not a big fan of 40K or GW for numerous reasons including costs, constantly changing rules for marketing purposes, dropping gaming systems, fanboys and IMO stupid game play. I do like the fluff and many of the models, but I often just buy on the used market rather than pay full retail.
A really cool game to come out of the 40K universe is called Kill Team. It "is
a fan-made unofficial expansion to Warhammer 40,000 that allows you to
fight more intimate, more narrative driven games of Warhammer 40,000.
Instead of fighting across vast battlefields controlling armies of
hundreds of troops, you take control of a small task force with a
handful of men."
A cool blog to checkout is Heralds Of Ruin. They have all the rules for Kill Team, Army lists and everything else one needs to play the game, well except the models.
I have decided to try and go old school and pick up a bunch of Rogue Trader Orks for a Kill Team. The figures have a ton of character and many just look plain silly, but they have something about them that the current 40K figures don't. Right now I have 3 of these Ork bosses and like to pick up a few more to round out the team.