I like the scale of it. The timescale, the scale of the wars, the scale of the god and the vast numbers involved.
You can have titanic crusades and monumental battles...then 2 sectors away they aren't even aware of that going on bar a few officials keeping in touch and the astropaths going "here about that shit in grimcdarkus sector?"
The Emperor alone is a huge reason for my interest, an ancient man from the dawn of time guiding his species and failing like any other man can fail, and then trying to make do and enduring pain beyond description every moment to keep his species alive.
There is so much going on in 40k and it isn't perfect (thanks Horus Heresy for making the Emperor seem like a moron) but as settings go it is one of my absolute favourites.
Plus I am British so it "clicks" with me, its dare I say it comfortable.