Am I right in thinking that you only suffer fatigue as a result of critical damage? It doesn't seem quite right that you can fight for hours and take a load of knocks without suffering fatigue unless critically wounded. On a similar theme, is it correct that if your have, say, 21 wounds, you can suffer 20 wounds without any ill effects?

Well, there effects and abilities which will make you fatigued.

And I certainly don't see any reason why you couldn't decide to apply fatigue penalties in certain situations which are physically and/or mentally demanding of the characters. Keep in mind though that space marines don't suffer penalties for lack of sleep so unless the level of exertion was extreme, it's unlikely that they would be 'fatigued.'

As to your second question: yes. If you have 21 Wounds and suffer 20 damage, you're still functioning normally… though it will take you a while to heal up without the Hardy talent. In essence, wounds are not "total health" (ie: you don't die when you run out). They just represent the limit of damage a character can take and still function normally.

(However, I seem to remember a certain rule about taking fatigue / suffering other effects if you take more than a certain percentage of your wounds in damage from a single attack. Anybody remember a rule like that?)

Fatigue and lack of sleep are two different things.

The following list includes some of the things which cause fatigue:
Failing a T test after sprinting two turns in a row
Failing a T test after Hurrying for too long
Failing a T test for carrying or pushing too much weight
Activating some psychic powers
Being affected by some psychic powers
Fatigue damage in lieu of unarmed damage
Being hit by a Stun action (and many times just by being stunned)
Suffocation
Critical Damage
Special weapon affects
Whenever the GM darn well wants

Can't seem to find the rule for sleep deprivation. Essentially it is something like you may remain awake for X time your TB past that you suffer awareness penalties and may have to take T tests to remain away (not sure on the last bit). If anyone knows were the sleep deprivation rules are please post it up. It irks me I can't find them.

Thanks for the helpful replies, much appreciated.