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Sorry i'm a noob when it comes to fluff i only really know stuff from the codices and rulebooks, but I was wondering is there any progression to the story of 40k or does it just kind of sit in the same state of basically. " The whole galaxy is at war and everyone is doomed," because that is how it seems to me and probaly why I've never gotten into the story as much as others because to me that is just a bit crap.

The story hasn't advanced for a while now.

Stays still.
Someone called Hammertime.

Its a setting, not a story.

It got so hot, they had to put it into the freezer.

I understand its a setting, and a cooling setting at that, but they must have like events that go in some sort of chronological order to tell some sort of story of the 41st millenia.

Well, yeah...

There is order, when the galaxy comes into existance.......







and then the first races decided war is more fun than peace. Thus old ones and C'tan smashed the galaxy.
So actually ( before a new dex is out ) the codex Necrons describes the beginning of the 40k verse.
eldar, orks and other races are added, chaos becomes chaos and these monkeys on that small dirtball consider it a good idea to participate.
codex Eldar, dark eldar has some pre imperium fluff, orks could but they don't care for the past.
The rise of mankind. ( rulebook , codices, BL ). a timeline in the BRB, the HH etc etc
GW adds a race - Tau
Tyranids enter this galaxy
Necrons awaken again.
Full stop at M42.

While I think that there needs to be progression, coolyo294 is right; its a setting, not a story. There are many stories to be told in the grim, dark future of the 41st millenium.

They mostly release stuff based in the Past (campaign books, Codex fluff ect) and Novels (supposedly) based in the future (Gaunt's Ghost series I think)

The idea behind it is for YOU to tell the tale. YOUR commander fighting glorious fights or suffering glorious defeats (the latter more often in the beginning) for the Betterment of YOUR Faction.

Shas'El Sa'Cea Ka'is Iur'Tae'Mont has a story. One mostly filled with defeat (hence using Iur'Tae'Mont, the Tau word for Shellshock/War Fatigue in his name)

What's the story for your Commander? Dunno. Play some games, maybe post some Batreps (if you feel like it) and make it your own!