Why?

[nacho cheese]

Why do we play Warhammer 40k?

[ImperialGuardMarine]

To waste money?
To please the Warhammer Gods?
To fuel are sick ways by buying expensive models that you must put together and paint so we don't do bad things?

[SJPhillyVT]

s'fun

[nacho cheese]

To waste money?
To please the Warhammer Gods?
To fuel are sick ways by buying expensive models that you must put together and paint so we don't do bad things?

Oh god I'll have to buy you more Warhammer models from doing bad things now.

[nacho cheese]

s'fun

Well yes it is very fun of course.

[ImperialGuardMarine]

Oh god I'll have to buy you more Warhammer models from doing bad things now.

I guess so.

[experiment 626]

Well, I do it because it's a hobby that I find quite fun and relaxing, while also offering pure entertainment for my opponent's due to my horrendously cursed dice rolls!

It's also an outlet for any violent feelings I might have, especially if I feel like I've been wronged in some way.
I mean, let's face it, humans are pretty savage creatures. Our entire history is dominated by war & killing - it's our basic nature. Wargames, violent video games & movies, contact sports, etc... are a perfectly safe way to indulge in our basic desire to destroy crap without actually causing any negative effects on those around us.
I love the imagery of a good Warhammer game where armies are put through the blender, your soldiers are killed in spectacularly violent ways and you get to laugh and demand MOAR! BLOOD FOR THE BLOOD GOD!!!

It's a great way to stay sane as I can imagine every person I utterly loath and hate as those poor b@$^*rds who just got messily eaten and torn to bloody ribbons by giant space bugs! (or turned inside out by an evil daemon from the warp, etc...)

[ImperialGuardMarine]

That was pretty deep.

[nacho cheese]

Hate is a pretty strong word and it blackens the soul.

[CaptainSarathai]

I don't think it's just 40k you should be asking about. I don't really play 40k that much anymore, I'm more of a Fantasy guy myself.
I play wargames as a social thing, but also because it's a very cerebral experience.
First, I enjoy sitting around with my friends and painting, gaming, or discussing my next army. Wargames are at their own pace, and it's easy to "talk over them". Playing DnD for example, it's hard to have a conversation while also having a solid roleplaying experience. When playing videogames, it's easy to get sucked into the action and the white-knuckled button-mashing and forget that there's someone sitting right beside you. My other hobbies are similar - surfing is nice because you are completely alone even when there are other people in the water, paintball and lacrosse are sports - you only communicate to tell eachother who's covering which angle or who's going for the downed ball. I think that everyone who wargames plays for the social part of it. We're nerds, we're a very small subculture and therefore we all band together around our common interest. My LGS is like my living room, and most of the people in it are my friends.

The other reason that I play (moreso Fantasy) is that I'm fascinated by all of the options, and the constant evolution of the game. Despite the social aspect, I'm a very competitive gamer. I spend hours crunching numbers and trying to squeeze every inch of performance out of my army. I treat them just like I treat my car - I tweak a little bit here, change a part out over there, and use the science and math to hone the entire thing down to a razor's edge. Then I go test it out, which usually entails flying by the seat of your pants. You come back to it later and think "wow, that didn't work out for me, I need to change XYZ to dial it in." I've had arguments that bordered on the philosophical about whether or not it was a good idea to add 5 models to a regiment. I've discussed over-all tactics, whether there's any merit to the VP-Denial game, or if you should accept your losses and attempt a victory by force.

It's the same reason I'm on LO honestly, and why I've risen so far in the community. I came here to learn after spending a few years just playing aimlessly. I wanted to become a better player. Over time, I met other LOers that I'd consider friends, and also learned a lot about the game. Now I can respond confidently to most questions - I've written a few guides and tacticas, and I'm occasionally considered one of "the guys to ask" in some of the parts of the forum.