I should note that, for me, the best way to scratch my grimdark / 40k itch is to play the game that got me into the universe in the first place:
Space Hulk
It is everything that 7th edition 40k is not: balanced rules, interesting and diverse scenarios, true moments of excitement and dramatic tension, lots of meaningful tactical decisions to make. And it all fits in one large box. It's not cheap as far as boardgames go, but for $125 US (assuming you paid full MSRP) you're good to go... so it's way cheaper than 40k, for sure.
Space Hulk is loads of fun and is probably the best game ever made with the 40k IP.
