One of the big advantages I feel 40k has over Warmachine is the sense of narrative. Since 6th edition came out it just seems to me that 40k isn't so much a deeply cerebral duel of cunning and finesse as Warmachine but is more simply about fun and watching an awesome story unfold on the board. I find what really adds to this is the way characters work.
I don't know about the rest of you 40k players out there, but I like the Look Out Sir! and challenge rules. It really gives a sense of the characters in your army standing out from the crowd. They don't feel like faceless grunts anymore, you can kit your sergeants and captains and lords and what-have-yous out so each is a minor hero in your army. The wound allocation rules force you to be that little bit more careful with them. Characters have made the game more characterful.
Anyway, what brought this about was the way my Chaos Marines have been playing lately. Around the time I created him, I'd also been toying with the idea of Space Wolves. On reading the Space Wolf codex, I loved the idea of an army centered around sagas and telling the story of whatever great hero (or 4, in the case of Space Wolves) you've lovingly crafted to lead your army. I've always been attached to that idea, and my Necrons and Chaos Marines, while not my most lethal armies, have always been a little special to me for being my more characterful. My Necrons, with the Crimson King marching with rank upon rank of relentless, implacable Warriors. My Spikey Bikey Lord, hurtling into battle with his cohorts, ever questing for Daemonhood, and somehow falling behind his bike.
The new Chaos Space Marine Codex has been very kind in this respect. 40k feels like more than a game. It feels like something from the Black Library. Across the battlefield, you're drawn into the myriad of little stories that play out as each aspiring champion fights tooth and nail for daemonhood, and at the head of it all, SBL the Cursed. I haven't figured out a name for him yet, but he will most certainly have the words, "the Cursed" behind his name. For the moment, we'll call him SBL for short. Why? Here's how his first 2 battles went.
Battle 1: 1750 pts vs Jun Tseng's Chaos.
SBL takes the lead, first blazing away with his bike's guns at some nearby hostiles as they spilled out from their shattered transport. Seeking a foe worthier of the attentions of the Axe of Blind Fury, he and his squad roared across the battlefield to smash into none other than Huron Blackheart, the Tyrant of Badab! They dueled mightily to a standstill, both reduced to their last wounds and then, the fates turned their backs on SBL. The daemon in the Axe of Blind Fury turned on him, and SBL fell most ignominiously to his own weapon...
Later in the battle Huron was slain by overwatch fire from SBL's squad.
Battle 2: 1750 vs Red's Blood Angels and Tau alliance
Once again, SBL and his squad zoom into the teeth of the enemy's guns. This time, though, those guns included 3 demolisher cannons belonging to Blood Angel Vindicators. Still, in the manner of a true Lord with the patronage of the Ruinous Powers, his squad were there as mere meatshields for him to get close enough bring the Axe of Blind Fury the blood of his foes. A team of Crisis Suits were first to face his wrath. Overwatch fire from plasma rifles and a lucky swing took 2 wounds off SBL, but he tore them and their drones to pieces while the rest of the bikes held the attention of other big guns. After finishing with them, a nearby squad of 5 assault marines found themselves on the nasty end of SBL's daemon weapon. And as he ripped the hapless marines to shred, the Ruinous Powers saw fit to touch their enterprising son with a blessing of change! Bike, rider and diabolical weapon were twisted and melded together as hellish powers wrought them anew... into a spawn. Moments later a squad of Fire Warriors arrived from reserve and blasted the abomination that used to be SBL to pieces.
And that's the story so far of SBL the Cursed. I expect there will be many more similarly entertaining, albeit pathetic tales to be told, but for now I'll leave you with just the two. Happy wargaming, all...