Try as I might not to get sucked into the hobby, I've failed miserably and now have an Ork army of my own. Despite being fun to model since the restrictions on what they can look like is looser than other armies, I don't identify with them that much. They're all violence and tests of toughness, crushing the weak and laughing. That sounds to me like a frat boy with no moral code.
I connect myself with Eldar, in that I understand where they're coming from. They're living in the shadow of the greatest galaxy-spanning empire that's ever been, but they've fallen and are on the run from their self-created demonic adversary. They still see themselves as just better than everyone else, throwing away millions of lives willy-nilly in order to save their own skinny hides. Why not? The lower races will never experience what an Eldar can experience in a minute, but they may very well be immortal on top of that. Only unnatural deaths seem to end them.
But then there's Chaos, and while a great number of the Chaos Space Marines look and act stupid, among their ranks are people I can see myself in. Sorcerers pursue knowledge to the exclusion of all else, doing whatever horrible things it takes to get said knowledge. The Flawless Host desire to become experts in all things, immortal, beautiful, brilliant and deadly, and sometimes succeed. Would I risk torture to unlock immortality, limitless power and the reverence of billions? Hell yes! Let the sheep follow their Golden Shepherd, I'd rather be the wolf.