The universe is stunning, though the concept of there being no 'good guys' makes it tough to convert to movies and such. It is very cool that they have humanity as very nasty and other races as far more moral though; that's unusual in a sci-fi universe. Sadly most of the video games are still based around the humans.
It's true that the Imperium of Man wants to rule the galaxy and wipe out all other sentient races since their very existance is considered to be an insult. They also kill any of their own who refuse to worship the God-Emperor. None the less. the other races aren't THAT much more moral.
The Orks want to fight and smash everything. The Necrons want to destroy everything that isn't them. The Tyranids just want to eat everything (in fact they're probably the single greatest threat to ALL other factions in the entire 40K universe). The Eldar just want to survive (and have no problem doing so at the expence of everyone else). The Dark Eldar just want to raid, enslave and torture anyone they can get their hands on. The demonic forces of Chaos want to conquer everything and forcibly convert everyone to their horrific dark cults that make the Imperium's religion look tame by comparison.
The Tau may be the closest thing to good guys that there are in 40K as they actually try to get other races to join their their empire. None the less their goverment is just as corrupt and ruthless and Humanity's and they still have no qualms about slaughtering anyone who refuses to join them.
The thing is though that there are a fair amount of more likeable, honorable individual characters in the Imperium and other factions that can be worth rooting for. That's what makes the characters in a lot of the novels work. They may still be products of their society but at least you can relate to them.