Personally, I've always been considerably more interested in the fantasy warhammer world. Space is just too big you know? When you've got fifteen fully developed races that are completely different in either appearance, ideology, goals, or, usually, all three, and you cram them all onto one single world, you KNOW there's gonna be fisties occasionally, and you'd be surprised if there weren't. You take 14 completely developed races and spread them across the vast infinite reaches of space, and you say, "is that it?" six of them are human, and five (5!?) of those human armies are all the SAME. BLOODY. SPACE MARINE.
It all means more too. A battle taking place on the fringes of a race's territory means a lot more if that fringe is only a few hundred miles away, and not the other side of the fucking galaxy. The High Elves, Dwarfs, and other dying races are ACTUALLY dying. The elves being relegated to an island and the dwarfs a couple of underground cities. Then you look at the Eldar, the 40k ripoff of elves, and their "dying" race? Has PLANETS. Not even A planet, planetS. Boo-fuckin-hoo. You lose an eldar, there are still a billion more. Maybe not as many billions as there are orcs or tyranids or any of the other races with just as retarded numbers, but when people die in fantasy, it matters just a bit more. A single city is taken from one race by another and now the story's drastically been changed. A whole planet gets blown up in 40k? big deal, just pull another one outta your ass.