YouTube is loaded with Warhammer 40,000 related videos. Here are a few of the better ones.
Warhammer 40K: Stop Motion Movie Pt 4 — The previous parts are not that interesting but the final battle is well done.
Warhammer 40K: Dreadnought — A great example of what computer animation can do.
Dawn of War Intro — The amazing classic.
Dawn of War 2 Intro — The latest Dawn of War 2 intro introducing the Tyranids.