My favorite recent moment from my long-running DH campaign:

The Acolytes have been sent to infiltrate The Viper's Nest, a lawless pirate-controlled space station (inspired by Spanish Main-era Tortuga). Shortly after their arrival, a local character insinuates himself into the group, offering to serve as their 'local guide'. This man, Longinus Argent ('argent' being Latin/High Gothic for 'silver', geddit? ), is an aging former pirate who has lost a leg and been 'put ashore' by his former crewmates, since he can no longer keep up during boarding actions; his stated goal is to earn enough money to get a cybernetic replacement. He impressed the PCs enough with his seemingly encyclopedic knowledge of illegal activities (thanks to a rare instance of the Dice Gods moving the narrative forward, rather than sabotaging it) that they have decided to recruit him as a minion after their business on the station is complete, offering to buy him a cybernetic leg to secure his loyalty. I was a bit surprised by how quickly my players came to accept this guy- were they going soft...? As the PCs were going about their business, the group's Techpriest nonchalantly floats the idea (in secret Acolyte speech) that they should include a hidden explosive in the new leg they will buy for Longinus, "-in case we need a distraction at some point in the future..."

What are some examples of your players perfectly embodying the Grim Darkness of the Far Future...?

The Inquisitor in my group made his first action upon taking office to order his Savant to eradicate all evidence of the Psyker, now dead after a bungee jump into 100 Corruption Points. Felt it was pretty fitting all things considered.

This is from Rogue Trader, but my fondest memory of a 40K game was when the trader landed on an isolated planet with the goal of converting the primitive natives to the light of the Emperor. We were told that there was a great beast plaguing the villagers. My Rogue Trader, Alessaunder Xanatov, being a roaring drunk, decided to enter the cave of the beast alone. His plan was to use his implanted drug gland (one of the drugs that he had the gland naturally generate was booze) to inject himself with enough of the speed-type drug to give him an ungodly agility bonus. He went into the cave, found the monster, and then barreled back outside. Of course, as soon as the monster emerged after him, the other crew members were waiting in a flying assault craft to blast the hell out of the monster. The monster turned out to be a giant beast made of rocks. The assault craft members shot the rock monster with a grappling gun, flew the craft up into the air, and used the Logic skill to figure out mathematically how to put the rock monster into geosynchronous orbit. My rogue trader returned to the village, told them the "comet" in the sky was a sign of the Emperor's majesty and converted them all.

Later in the campaign, the crew used the ship's teleportarium, which they had fixed onto the location of the rock monster, to teleport him directly into the bridge of an enemy ship.

As far as Dark Heresy goes, I have a fond memory of my psyker, who was made an inquisitor-in-training, arriving on a planet, being greeted by an evasive governor, and immediately having his pet panther pounce on and eviscerate the governor. I mostly did this to avoid having to make social/combat rolls that I'd likely have otherwise failed at.

The last game I played in (as opposed to ran) ended in a pretty ridiculous, grimdark manner. The BBEG had come back from the great beyond as some kind of demonghost to retrieve the demonic macguffin we had stolen from her with the intent of destroying it. She was pissed and wanted her toy back and is chasing us through the underground facility she and her organization had been operating out of.

We get cornered and things... go poorly. My character was an adept turned sorcerer who essentially outsmarted the GM's demon NPC into killing the BBEG in the first place, so she was gunning for me pretty hard, as I was now inhabiting her body thanks to a demonic pact. I'm rolling psychic powers hard and, with no fate points left, roll 100 on the perils table and pop out of existence. Welp.

With only 2 players left and the fight going badly, the other psyker (the legit, sanctioned one), who happened to be carrying the chaos macguffin, does the math and decides this situation is dire enough to warrant activating the device. As with all good evil artifacts, it had been established that while this may have helped us in the immediate, long term it would have caused significant problems.

The other player disagrees with this course of action, being somewhat more puritanical, and turns his weapon on the psyker player. He lands a solid hit. With a plasma pistol. And since we were well into a fight, this put him well into critical damage. The one where all of the target's ammo explodes.

Did I mention we had a bunch of mining explosives intended to be used to seal the facility? And that the psyker player was carrying them, as well? 5kg of explosives go off in an enclosed space miles underground, killing all of the player characters and collapsing most of the facility.

The ending to the campaign was literally "rocks fall, everyone dies" but it was **** satisfying. My character in particular spent most of the campaign pushing the limits of messing with the warp and making deals with demons with the intent of screwing them over. In a lot of ways he got what he had coming.