I stumbled on this great piece by Brenna Hillier over on VG24/7. She interviews core games exec Danny Bilson, and they discuss several games that were cancelled as THQ collapsed in 2012, the first of which is the long-in-development Warhammer 40K: Dark Millenium Online.
As noted in one of the first articles on H.O.W., THQ's Space Marine is what got me into the Warhammer universe in the first place. It was a rock solid game with a ton of character. I was saddened to learn that we wouldn't get to see the continuing adventures of Captain Titus, as the ending of the first game found him in the clutches of the Inquisition, accused of heresy.
Bilson dishes even more info on the cancelled MMO, and it's a real heart breaker. He reveals that the changing MMO climate caused a shift in focus, (and rightfully so, given the relative failure of Knights of the Old Republic) but the really disappointing revelation is that it was turned into a well constructed 4 player action game that was nearly completed, before the entire thing was scrapped.
Makes you wonder if we'll ever see another decent game set in the 40K universe.