I'll start with two factions that used to be my absolute favorites.
1. Everything about the "new" Alpha Legion. The old school Alpha Legion full of arrogant jerkbags who turned, quite bitterly, to a 10,000 year long guerrilla war after they lost in the Heresy was about 340 billion times cooler than the ridiculously awful Mission Impossible Marines of Dan Abnett's imagination.
2. Orks being endlessly reproducing galactic mold that gets bigger when you hit it. They were so much more awesome when they were the galaxy's rambunctious neighbors who spent their entire lives in a loop of The Road Warrior fighting amongst themselves until a really powerful warlord would get them all riled up and go about smashin' fings.
On to other things:
3. Over-grimdark. At some point, Games Workshop decided to +1 the entire universe. Instead of
everyone living in this decrepit, slowly crumbling galaxy, they decided to ramp up the Grimdark Factor as much as possible. It used to be that Tyranids were going to eat everything, and the reason they were going to do it was because everyone else was too busy fighting eachother to stop them.
Now
everyone is going to eat everything. Necrons went from being these mysterious Egyptian Space Terminators and the remnants of an ancient civilization to this massive, billions strong and about to awaken ancient civilization. The Orks, like I mentioned, now reproduce by getting killed (

) and can match a Tyranid hive fleet simply through force of mold (nevermind how stupid the idea is that the Orks could reproduce full sized warriors at that rate). Chaos was once the bitter and angry remnants of a 10,000 year old treachery who were only able to mount one large, and ultimately failed, offensive every several hundred years and spent the rest of the time raiding and plotting insurrections. Now they're a massive threat that is going to eat the galaxy.
The game was much cooler when the Imperium was slowly crumbling, but sorta barely holding on. That's the dystopic feel the original writers were going for. At some point, apparently Games Workshop felt that players were too stupid to enjoy such a setting, and that people would only play the xenos and Chaos armies if they were "winning".

It looks like I've mentioned this once or twice before, because people are now repeating it. Well, just like "special snowflake", I guess I am a fountain of contributions to the Dakka community.