Warhammer Films
The title says it all.
Bloodquest
A CGI-Movie that never came to be. It was going to be based on the comic collection Bloodquest.
Inquisitor
A short film that depicted Dark Angels and an Inquisitor exploring a monolith filled with World Eaters. Short, some rather baffling 2E logic, and a teaser to a film about Wolf Guard fighting Genestealers and another one about Space Marines, (maybe) Chaos Orks, and a very monotone "Blood for the Blood God", neither of which ever happened.
Notable mainly for being completely terrible, even by campy early-90's standards.
Damnatus
A low-rent German fan-film about a variety of characters who are investigating some weird shit going on with some cultists. Other than that, as far as low budgets fan films go, it's actually pretty fun. It has been banned from international release thanks to German copyright bullshit, but you can probably find it on youtube or something.
Ultramarines: The Movie
A 70 minute CGI thriller film based on the Warhammer 40K universe, featuring the Ultramarines chapter as the protagonists. The film starred John Hurt, who plays the role of Carnak (mostly because his son plays the tabletop game), Sean Pertwee (the guy whose dad played the third incarnation of the Doctor from Dr Who), and Terrance Stamp. Due to the nature of the CGI the actors mostly lent their voices and faces to the film. The director was Martyn Pick and the facial animations were produced by Image Metrics.
It was most noteworthy because the screenplay was written by Dan Abnett, esteemed and critically acclaimed Black Library author of Warhammer Fantasy and 40k fiction. Despite this, the overall consensus is that it was a mediocre film with underwhelming visuals and animations.
The Lord Inquisitor - Seed of Ambition
Yet another one man 40k Fan Movie. With CGI. And look at that CGI. Just look at it. Holy shit. Problem, Ultramarines apologists? Well, other than the problem of it possibly never coming out, obviously. Sadly you can't even donate as the guy can't profit from working on the film, altough you COULD give him money for something different eh ;). (What, you thought Games Workshop would have given him some money along with the guy to help on the script?) PUT ON INDEFINITE HOLD AS OF 2018.
Dawn of War: The Last Samurai
A fan film using the entire dialogue and plot of the The Last Samurai movie. The big difference is that the characters are played by dawn of war units. Examples are tom cruise's character being played by an Imperial Guard sergeant,the samurai being played by Space Marines with chainswords and the Japanese military being played by the Imperial Guard.
Dawn of War: 300
Another fan film using the entire dialogue and plot of the movie 300. The characters are again played by dawn of war units. The Spartans being played by Grey Knights and the Persians Played by Chaos space Marines.
Dawn of War: 1st Battle of Armageddon
A fan film depicting the 1st Battle of Armageddon,with the characters played yet again by dawn of war units. Displays a few inaccuracies. But overall, it was enjoyable.
Assorted shorts.
A wide variety of well-produced shorts can always be found on YouTube and other sources. This one's about a certain fanfiction.
Web Series
As you might expect, there are always fan projects going on somewhere. Some of these include projects about Space Marines, Horus Heresy Space Marines and a live-action series about Imperial Guard against Chaos.
Helsreach: The Movie
A fan film about Merek Grimaldus, High Chaplain of the Black Templars Space Marine Chapter. It features a hand drawn art style that evolves with the film. Not for the uninitiated, but then again, if you were uninitiated, you wouldn't be here would you? This is arguably the finest of all the titles listed here, although Lord Inquisitor comes close. With 13 episodes and more than 2 hours in length, it is certainly the longest. Helsreach is nothing less is a hand-drawn love letter to the lore of Warhammer 40k, using voice-over snippets from the brilliant Helsreach series e-books.
Two hours of undiluted awesome. Seriously, check it out. If you're not a Black Templars fan by the finale then there is something seriously wrong with you.
Helsreach is also a notable case in which the Imperial Guard is not portrayed as being utterly useless.
Guardsman
A short, one-off fan film about An Imperial Guardsman. An injured Cadian guardsman encounters some Tyranids - hilarity and violence ensures.
Produced by the same guy who did the Helsreach fan film series.
Astartes
Currently a 4 part fan animation of a Space Marine boarding action on a enemy space vessel. Warning: Violent, Graphic and no talking [1] episode one here. It's awesome and underscores just how stupendously lethal and utterly terrifying Space Marines are. This is more like Dan Abnett's "super soldiers" take on Space Marines than McNeil's "IG in Powered Armor" view of them. Which makes it all the better. Astartes forte is an impressive visual design which milks pure win out of the outlandishness of 40k wargear: bolters, autocannons and multilasers are perfect, a plasma pistol shot never looked better and by the emperor they made even the humble astartes combat knife look extra cool. Cool in a tactical and mindful way, not in a "butcher dozens upon dozens of enemy in melee for the lulz" way.