Anyone who is into both Warhammer 40K and role-playing games is probably aware by now that Fantasy Flight Games has two apparently very well-received RPGs out right now; Rogue Trader and Dark Heresy. While I haven't picked up either of these books yet, I've looked at both games and I think they look fabulous.
The last few months have seen the development of FFG's latest WH40K RPG, Deathwatch. The Deathwatch are hand-picked Space Marines tasked with the most dangerous and critical missions against alien menaces - taking on Genestealer cults, assassinating Ork or Eldar leaders, boarding and destroying Tyrannid hiveships - these guys are like the commandos from the movie Predator, just a foot taller and wider and wearing a 500 lb suit of powered battle armor, with everyone toting, at a minimum, the rough equivalent of a full-auto light armor piercing grenade launcher.
Personally, I am really excited about this game. The other 40K RPGs also look great, but I think they are better suited for long term linear campaigns that keep a good flowing narrative going for multiple sessions. Deathwatch, on the other hand, looks like it would be great for episodic gameplay, which suits me much better. This looks like the sort of RPG where if you're bored and want to game some day with your buds, you can break out the book and some character sheets and go kick some Xeno butt.
To see what has me so excited, go to the Deathwatch Support Page and download the PDF demo they released for this year's Free RPG Day - Final Sanction. There is a high quality PDF and a web version, as well as a short PDF with two extra pre-generated characters. Keep in mind that this is a game demo, so it's kinda hand-holding in terms of the adventure and the GMing advice, but serves, I think, as a good introduction to the "world" of Warhammer 40K.