There is Rites of War and Final liberation, both turn based rts though rather old now. Still worth a look though, Final Liberation has live action cutscenes and such.
Though the best 40k video game has been Chaos Gate. Turn based again, this time commanding a Battle Company, a few squads at a time with rpg progression mechanics. You get very attached to the individual marines as they gain experience, progressing through the ranks, it's a kick in the guts when one of your favourites dies.
Totally forgot about that game loved it and didn't have a clue what warhammer was at the time. Just ordered it from amazon.
Taking limited free commisions again. PM for info.