The Other Games: Battlefleet Gothic
So after you've played game after game, in each of the 9 different scenario possibilities, and you feel like you've enjoyed everything that 40k has to offer, it's time to explore Battlefleet Gothic. BFG is a game about space ships, really big space ships, with really big guns. You are fighting in the Gothic Sector of space against the other races that have interest there, which is pretty much everyone.
On the surface, BFG is a space game where you have a small navy at your disposal. The game is usually played with a Victory point condition system that we used to see in 40k, and still see in Fantasy, blow up enemy ships to win! Overall, the game system is extremely well balanced at it's core, with only a few rare exceptions (Necrons).
BFG plays more similar to a naval game than a skirmish game, your ships can only turn so many times at so much of an angle per turn, so you have to plan your moves in advance to lay the perfect trap for your opponents and blast them to pieces with your broadsides. Because this is a game in space, there are some interesting other rules that you wouldn't find in a typical naval game. One of the most important features in space are planets, using their gravity wells, your ships get a free turn towards the planet when you are near, effectively allowing your ship extra maneuverability to slingshot around the planet in a tighter circle than normal. There are many other space phenomena you can experience as well, everything from solar flares to space debris.
Since the rules are provided from GW for free, if you have read this far, I would say to download the rules and check them out.
So not only are the rules good, but the miniatures are mostly amazing as well. Ships come in sizes ranging as large as an Emperor Class Battleship, down to diminutive fighters and bombers (which are still about the size of a Thunderhawk).
To collect a fleet, usually a battleship, 2-4 cruisers and a handful of escorts is plenty, meaning you can make a decent sized Chaos or Imperial fleet for about $100, or an Eldar fleet for about $140. Add on that the rules are free, the scenery is cheap and easy to make, and a board is little more than a piece of plexiglass sprayed black, you have all the makings for a very inexpensive game to play (by normal wargame standards).
In short, if you have a good sized game group willing to try out a new (old) game, you should pitch this one their way. Not being a huge investment, miniatures that are still available from GW and having a very solid rules set all mean that this game is still quite worthy to pick up.