The Warhammer 40,000 game world is most readily characterized as a gothic science-fantasy universe, set approximately 38,000 years from now, in the 41st millennium (although recent storyline dates have been placing events in the 999th year of the 41st millennium, meaning an impending advancement into the 42nd). Most of the major storylines that provide the backdrop and history span over millennia at a time (ie, a 5,000 year-long civil war, a 10,000 year-long crusade). Technology (mostly artifacts from previous millennia which are no longer producable) enables select humans to continue living well beyond centuries long, some for thousands of years, although the cost of this extended life typically involves some kind of assimilation with a machine, and thereby loss of much of "the human".
The central and most popular elements of the Warhammer 40,000 universe are the Space Marines, anachronistic combinations of genetically enhanced super-soldiers with world-destroying firepower, and crusading knights with an unswerving, fanatical loyalty to the God-Emperor. Their genetic modification enables these soldiers to live "naturally" and maintain their super-human physical prowess for well over 100 years, creating veterans and commanders of immense experience, ferocity and knowledge. These warriors are the elite guardians of the Imperium of Mankind, a dystopian galaxy-spanning empire. They function from an aggressive "first contact" shock troop to the very last line of defense from the enemies of the Imperium.
While Space Marines act as the special forces of the Imperium, the bulk of mankind military power is the Imperial Guard, thousands of regiments of billions of normal soldiers from the worlds of the Imperium.
Some willingly enlisted out of devotion, while a large majority are simple conscripts pressed into service for the endless war. The Imperial Guard field masses of armour and infantry in fearsomely capable armies able to lay siege to worlds or withstand assaults from their sheer size alone.
The setting of this story is the Materium, the real physical universe we inhabit, with all action here in the Milky Way Galaxy. Much of this is controlled by the Imperium of Man, though it is not the only galactic power. Other races include the Orks, a barbaric humanoid green-skinned semi-fungoid based race; the Eldar, Tolkien-esque "space elves"; the Tau, aliens that work for a philosophy called the Greater Good; the Necrons, undead themed soulless living metal constructs; and the Tyranids, a Giger-like all-organic, bio-engineered, extragalactic superpredator. A dynamic, galaxy-spanning story line is possible
because of a separate plane of existence, the Immaterium or "Warp." The Warp is described as a universe composed of desire and emotion, with currents and eddies that make traveling vast interstellar distances possible yet difficult. As this is a realm of thought, a coalescence yields an often sinister warp entity. The strongest of these entities are the Chaos Gods, Khorne (a god of rage, bloodshed, and war), Nurgle (a god of despair, decay and pestilent disease), Tzeentch (a god of ambition, manipulation, change, deception, scheming, and sorcery) and Slaanesh (a god of pleasure, pain, depravity, pride and decadence).
The Gods of Chaos are reflections within the immaterial universe of the strongest impulses expressed by the inhabitants of the material universe. Their cults have a dynamic and antagonistic relationship.
Khorne opposes Slaanesh, while Nurgle opposes Tzeentch. Nurgle is the personification of stagnation and decay, Tzeentch personifies continual change, Khorne personifies hatred and rage, and Slaanesh personifies the epicurean or the sensual. These four powers are not the only entities in the Warp, but they are the greatest and most powerful. It is said, in the background to Warhammer 40,000, that the nature of the Warp is beyond human comprehension and is truly unknowable.
Excerpt from http://en.wikipedia.org/wiki/Warhammer_40,000
* 3rd edition ** 4th edition