I have a LOT of recs. I will leave off the obvious ones (I assume that you've read OFUM, Shoebox, etc already, they're already on your reading list, or they're Just Not Your Thing), but even then, there's a LOT of stuff to recommend.
Just a note, not ALL of these are technically fanfics. Some of them or original universes, AARs, or some other sort of writing.
Other note: I'm not sorting these in any way. A lot of them are Warhammer, some of them are not. Most of them are NSFW, whether that be swearing, or actual adult content. With all that out of the way:
-The All Guardsmen Party[NSFW - language]: Some of you have been following the Dark Heresy game on Discord with interest. I know I have. It's been entertaining. Now, what do you get when you crank the funny up to 11, get a truly EVIL DM, have all the players play Guardsmen, and have it all written up in third person IC by a remarkably entertaining writer? You get The All Guardsmen Party. And it is glorious.
-Old Man Henderson[NSFW]: You know how I said that I'd be leaving out the obvious? I lied. Old Man Henderson is arguably the most amazing story ever recorded about a TRPG. It's funny, it's jawdropping, it's really, REALLY funny, and it ends with one of the most legendary things to ever happen in a Call Trail of Cthulhu game. I know most of you have read it, but it is basically Required Reading. So I'm putting it here!
-The Ballad of Edgardo[...Might be SFW? I don't remember,so assume NSFW]: You may have noticed I have an affection for entertaining stories of RPG nonsense. This is another one. Learn about how a poorly-optimized character in a semi-freeform Forum RPG would up on a quest of mighty vengeance with a squidman. And won.
-Thri-Kreen Erotica[VERY NSFW]: I love Tailsteak. Everyone here should probably know that I love Tailsteak by now, seeing how much I've plugged 1/0 (actually, go read 1/0 right now). So when someone on 4chan's /tg/ board posted asking whether D&D's Thri-Kreen were Furry (because it's 4chan), and a discussion ensued on the impossibility of writing good Thri-Kreen erotica, Tailsteak responded in a... uniquely Tailsteak fashion. It was hilarious, and somewhat disturbing.
-Toyhammer[Probably SFW - swears at worst]: You know, there are a few fics written about Warhammer 40k models that come to life, or the 40k factions at model scale. None of them matter save this one, because this one is just that good. It goes from wacky antics to Animorphs-esque secret war over time, and remains consistently engaging through all of it. Sadly, it hasn't updated in a while, and may never be finished. But it's still fantastic.
-Avoiding Stupid Deaths in the 41st Millenium[NSFW]: Some of you may know about TIANTDATPPC. Others of you may recall Skippy's list, or Things Mr Welch is No Longer Allowed to do in This RPG. This fic, which started as an attempt at an IG-focused 40k equivalent, became VERY different over time. It slowly developed a recurring cast of characters, an increasingly present in-universe author, and even, gradually, a storyline that I am invested enough in to check the fic for updates regularly. Cerebus has been kind of 40k fics...
-Love Can Bloom[Rating Unknown: Assume NSFW]: All right, I'll admit it: I haven't had time to read Love Can Bloom yet. But it is one of the most well-known 40k fics out there, to my knowledge, had a large number of spinoffs, and is generally beloved, although sometimes somewhat controversial. And most of you probably haven't heard of it. It's the story of an Eldar Farseer (Taldeer from Dawn of War) and a Vindicare Assassin who fall in love. It has become synonymous with sweet and gentle happenings in the Grim Darkness of the 41st Millennium. I'll tell you more when I actually read it...
-The Millenial King[SFW I think...]: Necromancers get a bad rap. But do you have to be evil to be a Necromancer? /tg/ didn't think so, so they wrote this collection of stories about a good necromancer and the kingdom that he ruled.
-Warhammer High[varies, but some NSFW]: Warhammer High is not a Warhammer 40k Highschool AU. I know it sounds like it should be, but it isn't. It's actually an AU where the Horus Heresy never happened (because The Emperor took Eldrad more seriously), and the Primarchs got daughters who all go to highschool together. I know. Somehow, the various writers at /tg/ managed to take this absolutely ludicrous concept and make some fics that are absolutely brilliant. Given, not all of these fics are great: there are parts of the written lore that are just stupid (Caliban and a lot of the other Sons) and are written poorly, and there is at least one piece of smut so eye-sporkingly bad that I may consider missioning it if I ever get Permission. It also tends to be much lighter in tone than the standard 40k fair. Having said that, Meet the Primarchs is absolutely hilarious, and the alleged smutfic Venus' Burn is absolutely fantastic and basically the inverse of PWP to the point that I had trouble finding the smut. Actually, Someone Else's (that's really his username) work for Warhammer High in general is excellent, especially the one he wrote after Venus' Burn, Bleeding Out.
-The Golem's Garden[SFW]: You can get my attention in two ways: You can be funny, or you can be heartwarming. This is the ladder.
-Marcius Flavius[I don't remember]: One of the hardest parts about crossovers is justifying them. How do characters from one world find themselves in another? Thankfully, 40k has a built-in answer: Warp Shenanigans. Not that this fic needs it, it's too funny to be bogged down by that. But I digress. Star Trek's Federation, and 40k's Imperium: Never were there two spacefaring civilizations in sci-fi more different. So what happens why they collide? Well, in this case, they organize a cultural exchange program, and hilarity ensues: Riker becomes an honorary Space Marine, and Marcius Flavius of the Imperial Fists is put under Picard. Neither deals with their new allies well...
Confessions of a Wayward Son[SFW]: I'm a Sons player, and they're probably my all-time favorite faction, so I'm biased on this one. Anyways, one type of 40k fic we see a lot of is the idea of the Chaos Space Marine who ends up changing his allegiances and fighting for The Imperium once more, kind of Drizzt-style, except hopefully not as Sue-ish. This actually kind of makes sense: There are some Marines in the Traitor Legions that never really wanted what happened. Like, to pick a completely random example, a good chunk of the Thousand Sons - although they hate the Imperium more. So what happens when a Son decides that Magnus was *definitely* wrong, and the Imperium was right to do what they did? Well, you get this fic. Some would say it's too angsty (and I have been known to mock the angst myself), and it certainly has some flaws here and there, but I never claimed that I had some highly developed taste in fic. At the end of the day, I like it. YMMV.