Krieg
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Krieg (quite literally German for "war") was once a relatively nice Hive World, a thriving hub of commerce and manufacturing that was home to billions, but that all changed in 433.M40 when the High Autocrat declared their independence from the Imperium of Man. A global civil war broke out and the heretical separatists swiftly exerted dominance over much of the world and its planetary defense network. Normally independence is suicide at best, but Krieg had such good defenses even a Sector Fleet would fail, which meant Krieg had a real chance of surviving on its own (until someone uses a stealth ship to exterminatus like a kill ship does). The loyalist Imperial Guard 83rd regiment under the command of Colonel Jurten staged a coup, taking control of Hive Ferrograd, however they were under siege and no outside aid was coming to help them retake the world. Alone and with orders to retaliate and reclaim the world at all costs, the loyalists fired their atomic rockets into the heretic hives, annihilating them, preventing Krieg from falling to Chaos. This Purging resulted in the surface of Krieg becoming a blasted, uninhabitable Death World, trapped in an eternal nuclear winter; only the underground bunkers and deepest depths of its former hive cities were capable of supporting any kind of life.
The Purge wrought two changes in the psyche of the Kriegers: first, they had a debt to discharge, in order to make up for their Autocrat's heresy, and second, they got very used to digging underground and building bunkers and forts. Thus, the Death Korps of Krieg were born, an army of fatalistic siege-warrior clones. Visually, they are styled after WWI soldiers, with a propensity for trench-digging and hazmat gear. Fierce and callous, the Kriegers vowed to retake their world even if Imperial pencil pushers had already written it off as a loss. The Purge had merely evened the odds. The civil war raged on generation after generation as the loyalist's descendants purged the heretics trench to trench and tunnel by tunnel and after 500 years of warfare Krieg was finally retaken for the Imperium and for Big E.
In 949.M40 Krieg finally rejoined the Imperium with little fanfare. The only ones who really took notice were the Departmento Munitorum, who were annoyed that Krieg had skimped out on its tithe of recruits to the Imperial Guard for the 500 years they had been at war and demanded an entire regiment to make up for it. Krieg sent them twenty regiments, all already equipped and trained, and demanded they be sent to the most dangerous warzones, because war is how Krieg rolls. One can only imagine the sheer boner of the Munitorum Adepts who heard of this news.
Seriously though, just guess what will happen if you name a planet WAR.
On /tg/
For some reason, fa/tg/uys are enamored of the Death Korps of Krieg; there is a minor meme in which urgent shipments are found to have been replaced with Kriegers, who are ready to take orders and, absent any pressing duties, spend their spare time building earthwork fortifications (even in places where earth is nowhere to be found, like starships), based on an actual stereotype about Germans during their vacation in other countries (no seriously). It strays a bit towards nazi wet dreams given the whole /pol/ thing but you didn't read that here.
A similar take on the above is that Krieg is popular because it signifies the Imperium's ultimate, unflinching, hateful stubbornness in the face of rebellion. Imagine the populists, the weak, the effete, the degenerate wanting to be free of the Imperium, decrying its autocracy. And they are winning. You have hordes of short-sighted, dumb billions telling you that you are an evil tyrant and have got to go. The rebelling leaders smile, either corrupt or too stupid to realize Chaos will make a buffet out of the planet or some blueberry communist asshat takes over.
What do you do? Do you give up to the hordes waiting outside that will likely imprison or execute you for "being an evil tyrant", who think they know better? Those so-called 99% think they are the righteous ones, foolishly believing rebelling will make the evil wars go away and everyone will live in a retarded Hippyland. Do you surrender like Germans after Hitler finally did to himself what he should have done years ago?
No. You nuke the entire world just to deny rebellion its joy with hateful spite.
You reside in the final tiny hive city, and the so called 99% want your surrender. You KILL THE 99% so that you become the 100% instead. No compromise, no mercy, all spite. Even if it takes 500 years, you send every last rebel, those who think they are "the majority so they should be respected", screaming to the Warp, even their descendants and the descendants of the said descendants. For 5 centuries, the rebels will shiver and wait their inevitable slow extinction in radiated bunkers, a five centuries' time of slow, painful execution reminding them of what happens if people turn from the Emperor.
And that is how the Imperium is, or has to be. A sentient, rabid honey badger that totes a lascannon on a paw and having the other replaced with a cybernetic one, who will clasp his jaw around its hunter and even growl and spit in death, and probably detonate when it's heart stops.
This is why Krieg is awesome, an example of unflinching, uncompromising spite, a monument of the autocracy of the State, which was Warhammer 40000's schtick from the beginning.
This take however ignores the official canon which is also on this very same page that says it was the corrupt autocrats who took over Krieg and it was the populace that fought for the Imperium. Krieg isn't an example of a dictatorial Imperium crushing the population at all. At most its instead an example of the Imperium coldly writing Krieg off as a lost cause but the loyalists still fought against the corrupt anti-imperium rich assholes and somehow managed to win anyways, after which the Imperium noticed and said "Hey, we could really use these super loyal and tough guys!"
Also it needs to be said that in current non-jokey 40k canon there is an in-universe romance novel about Kriegers titled "My Wish to Produce Children with you is Exceeded Only by my Love for Him."