To be honest I'd like to see a Mass Effect/Dragon Age Origins like RPG based around Inquisitor or Rogue Trader. The former would probably work best from the perspective of story telling.
Travel from planet to planet, hunting down heretics, uncover the big plot set to decimate the entire imperium, gradually collect and customize your own entourage of warriors and investigators to accompany you. You'd also have room to heavily customize a character like this, does your character fight melee, use ranged weapons, focus on Psi, wear powered armor, or some combination of the above? Do you pursue your investigations behind the scenes, being subtle, make a big scene for purposes of imperial morale (and to make a point), or some combination of the above acting more like a police officer?
From a Rogue Trader perspective I could see a game where you build your entire main crew, customize your ship, and then freeboot around the galaxy, trading illicitly with Xenos, smuggling, working with (or running from) the Inquisition and authorities, and working through some metaplot leading to that uber-score of Archaotech.
The point here is that while at it's core Warhammer 40k is about clasing armies (being based on a minatures game) there is far more to it than that. There is some serious RPG potential there, and to be honest while the results of PnP RPGs on the subject have been mixed (fairly successful novel series though), a video game focusing on the greater details of the universe other than who winds up in the crosshairs of Chapter X (or which faction of Chaos/Xenos your rampaging through the Imperium with at the moment) could be pretty decent.
Don't get me wrong, I love Warhammer 40k's video games so far, but I seem room for other franchises. If they DO develop an RPG though they should be careful to make sure it's a new franchise as opposed to say slapping the "Dawn Of War" name on it or whatever.
Also if they *DO* make a new strategy/tactical game, it might be interesting if they decided to work with Necromunda and the clashing hive gangs, rather than usual suspects.