I think MidnightSun nailed it. 40k gives you several armies that can be played in a handful of competitive ways - Fantasy gives you several armies that have to be played in one way to be competitive... and as aforementioned, this 'one way' is the same for nearly every army.
Fantasy is somewhat slower than 40k. Granted, flyers do move faster than anything in 40k, but with general movement being greater, I feel that the game flow in 40k is a lot smoother.
The loose formations that 40k infantry etc can move around in only amplifies this fact.