For me the central story of the 40K universe is the Horus Heresy and the Long War, Chaos vs. the Imperials, mankind against itself. All of the other stuff, while it can be cool itself (read: Orks rock!), all those Xenos are essentially just bit players to the big story.
That story is part of what appeals to me about the 40K background, and part of what draws me to Chaos armies. I've always been interested in that type of struggle, the internal conflicts - revolts, revolutions, civil wars - when society cracks open and all hell breaks loose.
American history has a number of direct instances, from the Revolutionary War which had some rebel vs. royalist unpleasantness, the American Civil War, and we were prominently involved in what were in many ways largely civil wars in Korea and Vietnam. The last century provided the better-known civil wars in Russia, China and Spain and revolts, insurrections and coups too numerous to count, and you can keep going back to things like the wars among Alexander's successors and the various Roman messes, and come back to internal struggles in Iraq and the like. These sorts of events fascinate me, where people can be functioning neighbors one day, then when something changes be at each others throats. Of course that's a simplification - they're generally a long time coming - but what lets one society see the trouble and make changes/pull back from the brink while another plunges over the cliff?
There's some entertaining fiction about such things as well, aside from 40K. Insurrection by David Weber and Steve White is an entertaining read, the whole Battletech universe is set in a fractured society fighting a series of Succession Wars, and there's this little movie you may have heard of called Star Wars.
What's the central story of 40K to you? The decline of the old races? The inevitable onslaught of the unlimited hordes of Orks and Tyranids? The Emperor's journey and ascension of humanity? Does your choice show through in other interests and fiction choices?