I use Battlefoam (with pluck foam trays) for my Space Marine army. Most of the other players at my
FLGS use KR Multicase, which seems to work pretty well (they have a good system for creating custom-fit foam).
For my Warmahordes and Infinity models, I use
magnetic storage. Basically, just glue neymidium magnets to the bottoms of the bases, and then cut out a piece of sheet metal to fit into a plastic carrying case. This would be kind of a pain in the ass to do for
40k (so many models), but it ends up being pretty cheap and effective, and you can easily add/remove models from your army without having to figure out how to fit them into a foam case.