Game of Thrones is the most obvious comparison imho, so think of that but throw in spaceships, demons, people duelling with chainsaws, BDSM aliens, and the beach landing of Saving Private Ryan happening so often that individual wars, never mind battles, can be forgotten by the in universe history.

The world of Warhammer 40k is scifi with a lot of gothic influence and religious mania, factional grudges and subcultures. There's a big emphasis on the control of information, propaganda, and the the idea the golden ages are all over and all that's left for everyone is entropy.

The main "storyline" is that about 10k years ago, the human imperium was split apart by a civil war. The traitors/heretics have allied with demons, and the surviving Imperium has turned itself into a fanatical cult of bureaucratic lunacy that fetishizes the lost heyday to the point of regression. The war wiped out all the heroes who might have prevented the ongoing collapse of everything that is now just a forgone conclusion.

You can think of the result as a mixture of Judge Dredd, Game of Thrones, Event Horizon and Battlestar Galactica. There are warp drives sure, but there are also flamethrower wielding nuns. There are interstellar empires, but AI is considered so dangerous that most machinery must have an organic component - ie a lobotomised human - integrated into it and be religiously blessed. The Imperium is technically still standing, but all its fundamental structures and tech is failing.

The Traitors may have failed to win and collapsed into infighting, but they're still out there and their gods are alive and taking calls, so their day's going to come eventually.

Both Imperial and Traitor factions have subgroups within, also, with distinct cultures of their own. So there are Mongolian biker horde or Soviet conscript flavored Imperials vs traitor plague zombie knights or Egyptian sorcerer Traitors.

On top of that you've got Orks (football hooligan orcs who fight for the love of it), Eldar (shifty space elf supremacists who consider humans disposable apes), Necrons (Egyptian flavored space Terminators who want to wipe out all life), Tyranids (space bugs who devour worlds at a time) and Tau (anime flavored nice guy fish men who are largely irrelevant, but are developing tech humans no longer can). All factions are at war, but sometimes enter into allegiances of convenience which can be a ton of fun.

It is very dark in the sense that every happy ending usually comes with a reveal of how shitty the cost of the win actually was, but there's also a lot of black humor in it, particularly in stories of how average day to day humans are getting by in the middle of all this operatic craziness.