I just recently started a Rogue Trader game. I've got three players playing six characters, and after our second session, they're beginning to 'get' their characters. I generated some premades, since I'm the one among our group that groks 40k enough to run the game, and helped them with getting into those characters and making them their own.

I'm running through the starting adventure in the back of the RT rulebook to get everyone accustomed to the system.

In the combat in the Gilt Processional in the first portion of the adventure, the Missionary felt kind of useless, given the number of panicking civilians and her lack of a ranged weapon that didn't spew indiscriminate flaming death, so the player came up with an idea. She had chosen Perform (Singer) as one of her skills thanks to something in the character's background, and she had Command trained because of one of the Origin Path choices, and of course, she had the flamer.

She went fairly early in the initiative order, and when it came to her, she used Command, using her singer's training to project her voice above the din, and firing a gout of promethium in a safe-ish direction to get everyone's attention, and she ordered the bystanders to drop to the ground.

I gave her a +15 bonus to the roll, +10 from the flamer and +5 for the voice training. She rolled exceedingly well on it (in the teens), so I gave it to her. The bystanders were now prone. I took away the rules for accidentally hitting a bystander, from both the House Fel armsmen and the PCs, and instead made it so that anyone who wanted to run or charge needed to pass an agility test to avoid tripping over someone. Given that the bystanders were now stationary, though, I left that rule in place for the entire combat, instead of the three rounds the "panicked bystanders" rule would have lasted.

Personally, I love it when players come up with innovative solutions to problems, and in fact ran an Age-of-Exploration D&D game once where I advised the characters to constantly ask themselves "What would Jack Sparrow do?" Have any other GMs had players do things that were just crazy enough to work, and what kind of unintended consequences did they have?

Not as clever as your player but still an original angle...

The crew just captured and repaired a small raider ship they managed to not destory during their first space battle ever (they got attacked a few minutes after arriving in the Expanse from the Calixis Sector) interrogated the Captain, got the location of some secret Space Station used as a staging ground for raids in the Footfall area (the station tiself in about a month real time travel away- beyond any auger range and far from the Navy's patrol routes)

Long story short, they decided that 2 void ships was too easy to spot so they began working on getting a stealth ship; so the Explorator goes about Footfall and managed tog et some info on the location of an ancient stealth vessel in some planet where basically, 'ships goes to die'. But since time was somewhat of the essence (and to gain some cash from the costy raider repair/crew hiring/bribing of Dock Master) They said screw that and started heading for the station. The smart patns move was them working on an Aquila Lander, stripping most of the space in it and put in some auger system and auger-blinders, making it a cheap, but effective recon vessel- they even went as far as almost landing ON the station proper to scan it...sadly they didn,t managed to scan anything, as fighter crafts were moving to intercept and they high tailed it outta there

Granted, all that sneaking aobut served nothing when they rammed the station with their frigate and mass board it; they still won at the end and only scrapped the landing bays.

Thanks to previous Evil GM Schemes™, my players knew that scrapcode and cogitator viruses existed in the campaign world (the Explorator was foolish enough to compile something he heard from a skeezy-looking servitor in a sleasy Mechanicum Temple of Libation, and incautious enough to infect their own ship's primary machine spirit).

Later, they were being pursued by a Murder-class cruiser owned by (as they would have figured out if any of them came even close to passing the relevant Knowledge checks) the Night Lords. Having quickly divined that they couldn't defeat it by Boarding/Hit-and-Run tactics (and coming very close to losing their Void Master in the process), nor by shooting, unless they got some lucky criticals,the Explorator comes up with a cunning plan:

Using his Speak (Tech) skill, he altered the scrapcode that he and the ship were infected with so it would hinder repairs, rather than navigation, and then he Hailed the Enemy to taunt them just as their maneuvering thrusters were knocked out by a lucky critical from the ship's lance. While taunting the post-human homicidal killing machines in plain old Low Gothic, he ran up a very neat Tech-Use roll to encode a self-extracting, self-executing data-packet in a hidden vox sub-channel at the same time.
The idea was, of course, that the malware he installed in their ship's logis cores should cause enough havoc that they wouldn't be able to repair their thrusters and come about in time to catch the players before they entered the Warp.

And it worked, just. The traitor astartes vessel was trapped on one heading, in-system, long enough for the players' dinky little frigate to get out beyond auspex range and make their Immaterium transition undetected. Unfortunately for them, before that happened, the (understandably angry) Night Lords painted the players' ship with an auspex pulse so powerful it caused the hull to ring like a bell and spot-welded several airlocks shut.
Now they have enemies who know exactly what their ship looks like, how it's outfitted, and almost certainly have sorcerers and/or Navigators good enough to track them back to Footfall, and agents who will be able to track them from there...