Planescape, Warhammer 40k, and Delta Green are all great settings. Dark Heresy has elements from all three of these. The characters are members of a shadowy government organization, sent out to investigate and stop cultists, sanity blasting horrors, and terrible things from beyond the stars (Delta Green), to do this they must travel incredible distances to strange and vastly different worlds (planescape), all in the 40k universe (40k)
An amalgam of three excellent settings is true greatness, but to move all beyond greatness to pure awesomeness needs a little more. That is one more great setting. The obvious answer here is Dark Sun.
(on a side note this idea accord to me the day before WotC announced Dark Sun was coming back)
Adding Dark Sun to the mix may take a bit of work, so let’s begin. To start, we can take are inspiration from the Planescape element. How do you add Dark Sun to Planescape? Easy; Athas is just one plane among many, but rarely visited as it is isolated and a rather nasty place. Similiarly, Not-Athas (or Nathas) is just one planet is the 40k galaxy, rarely visited as it is isolated and a rather nasty place.
Indeed Nathas is a world is a place so inhospitable that it is often classified as a Death World. It is extremely hot and arid; only a small areas, called the Nablelands, is capable of supporting human life and then only with difficulty. Nathas is far from any major trade route, it possess no resource in great quantity (other than sand of course), and low sustainable population levels and growth rates makes regimental tithing impossible. Thus the Administratum was more than willing to cede Nathas to the Adeptus Mechanicus when they requested research world (more on this latter).
Now comes the hard part, adapting a D&D fantasy world to the 40k Universe while still maintaining the awesomeness of the Dark Sun Setting.