Sammael and Azrael are both Archangels of the Christian church. Azrael is the god of death and his name literally translates as "whom god helps" and Sammael is a guardian angel and patron of Rome and his name comes from "sam" meaning poison and "El" meaning god so his name literally means "poisen of god"
A "god of death" in the Christian religion? I sincerely hope you meant angel! Its hard for monotheism to have more than one god...
Azrael and Sammael were names given to angels from the bible, though the angels were not named until the middle ages. Frankly, I'd rather see the angel Gabriel... he was portrayed weilding twin swords with unmatched skill.
Also, the Emperor and the Primarchs are mostly based off of religion and mythology from Earth. You can see Norse, Roman, Greek, Christian, Egyptian, and many more religious references in 40k.
Magnus has a few subtle references to Norse mythology. Odin was the cheif god in Norse mythology, and was known for three main traits: having only one eye, being ridiculously massive, and having a Raven perched upon his shoulder. Tzeentch is known as the Raven God, and the similarities between Norse mythology and Tzeentch are quite clear in Warhammer Fantasy. Oh, and in many pagan religions, the Raven was a sign of prophecy and fate. Who is Tzeentch? The Architect of Fate.
Good catch on Horus, btw! I had been meaning to look that up.