I'm definitely a 40K fan (makes a great change from building models of real-world tanks and aircraft - no rivet-counting and researching paint schemes needed!) though I haven't actually played a game yet - I'm more of a modeller/collector than a gamer.
Space Marines, Eldar and Imperial Guard are probably my favourite armies, but I also have quite a few Tau and Orks, as well as handful of Chaos, Necrons, Dark Eldar etc.
95% of these were bought second-hand on eBay so they cost me a fraction of retail price (GWs prices are what put me off Warhammer 40K originally, until I discovered eBay).
Currently I'm working on 3 Eldar vehicles (Falcon, Vyper and Wraithlord) in "Iyanden" craftworld colours (yellow and dark blue). I'll post them here when I've finished.
A few months ago I built a Space Marine Land Raider tank for the 40K group build - look through the older posts in the Sci-Fi forum and you'll find it (along with an impressive Razorback and Immolator from 2 other forum members)