For me, the general feel/vibe of the setting is probably the biggest attraction. This includes the classic grimdark owing much to my own introduction to the genre decades ago with the novels of Michael Moorcock, the visual style which is both very distinctive and very characterful, and the kind of stories that can be told in this setting.
To dig a little deeper, I find the Warhammer 40,000 (as well as its 30K counterpart) to be more than a little reminiscent of various mythologies, which again created a feeling of certain familiarity but with a distinct twist. All the hallmarks are there - larger-than-life characters often defined by specific archetypes and concepts, morality defined by "might makes right" rather than by absolute terms (i.e. compare the Emperor's decrees to, say, Zeus or Odin, who operate on the similar concept of "right" defined as "deity said so"), the sense of impending doom as defined by (potentially true) prophecy. More than that, the struggles of the mortal (or semi-mortal, in cases of primarchs and Astartes and other characters who just would not die) beings in the face of all that.
If I were to give a succinct summary of why I enjoy the WH40K setting, I would say that it takes the most memorable parts from various other settings I have enjoyed, and mashes them up in a way that somehow creates something new, an amalgam that somehow ends up being more than the sum of its parts. It is about the visual style, the stories, the characters, and, most of all, the atmosphere that has not been successfully replicated by any other science fiction or science fantasy setting I have come across so far.