I've done some
40K fanart, heh. Digitally, I use a Wacom Intuos 4 tablet and Photoshop. However, I used a small Graphire 2 for many years before getting the Intuos, and it worked just fine for me. It was smaller than my current Intuos, and therefore much more portable.

The small size didn't bother me since I habitually draw fairly small anyway. I don't think the type of tablet makes any difference to the quality of work that can be produced. A better tablet may just make the process a bit easier, hehe.
There's a lot of paint programs out there - some I can remember off the top of my head include Gimp, Jasc PaintShop Pro, and OpenCanvas. I haven't used Gimp myself, but if I remember right it's freeware or shareware. I used to use Jasc PSP, and I still occasionally use OpenCanvas when I couldn't be bothered with Photoshop, hehe.
Physically, I'll sometimes do the base drawing in an A4 sketchbook, using a mechanical pencil with blue and/or
HB/2B lead. I do like the ease and portability of a regular old sketchbook, and sometimes I just
think better using pencil and paper. Same with writing - I find writing easier to do with pencil and paper, rather than writing directly on the computer. I'm just strange that way, I guess.
Some examples of my scribbles:
Ahriman and a couple of friends. XD I intend to digitally colour this at some point, I just haven't gotten around to it yet. Base sketch done with blue lead, then cleaned up with either
HB or 2B, I can't remember.
A daemon prince based on one of the models in my army - pencil sketched (ran out of paper on the left there, argh), then digitally painted.
This one was done entirely in Photoshop. The rain effect was done by filling a layer with small white dots, then using a motion blur effect and setting the layer type to screen and adjusting the opacity to 50%.
I've got a few more Warhammer
40K pics up in my
DeviantArt gallery as well - I just don't want to flood the thread more than I have already, heh.