A total Work In Progress, or living document, if you prefer.
Games Workshop - Mecca - or home of 40k gaming. Love them or hate them, they exist here.
Games Workshop Errata/FAQ site - for the latest changes...
Forgeworld - Mecca 2?
Black Library - The publishing arm
Bell of Lost Souls - One of the Best blog/hub/article sites going
DakkaDakka - Great Forums!
MiniWarGamingVault - 40k Store, DVD, tutorial, paint help... you name it. All from America's Hat (Canada)
Going on Campaign - A rather dated (2011-ish) site but has good info for setting up 40k campaigns.
Warhammer 40k Wiki - A wiki page for us wackos
ConventionsAdepticon - Lombard, Illinois (Near Chicago)
Las Vegas Open - Yeah, Las Vegas, pretty much...
Nova Open - Arlington, Va
WH40K Chapter / Race PagesBlood Angel Devastators - Good pages of BA loveliness
The Blood Angels: by Jawaballs - Jawaballs own BA pages. Great painter, learn much from him, you will.
Implausible Nature - Black Templars site - very cool.
Necrontyr Online - Hmmm, Necron page maybe?
The Dark Fortress - Dark Angels, anyone?
Fortress Unforgiven - moooore Dark Angels...
Software for WH40K
Lone Wolf Development - The Folks who bring you Army Builder.
Battle Chronicler - Battle Chronicler is some old, but great software used to write up battle reports. Very handy stuff.
BattleScribe - Another list builder, windows only. Has the benefit of being free. It is not as in depth or capable as Army Builder, but it is a good alternative for those who can't stand lone wolf's stupid yearly license fee.
QuarterMaster - This is iPad software that does list building. Really very handy! A well done program. In order to get the best use out of it, you need to go to QMTemplates and grab their template files.
VASSAL for 40k - That's right, play 40k remotely!! Rockin! If you are not sure, VASSAL is a remote play system, where two people from different locations can play. It's mostly for board wargaming, but has been adapted for 40k. Very cool system. This site has lots of useful info to get the system going.
Painting / Modeling
Vallejo Paint Co. - Need I say more?
Tale of Painters - 5 painters, one blog. Pretty good site, good info and tips!
CoolminiorNot - Minis on Parade!
Tutofig - A cool tutorial site with lots of good info.
AG Productions - A painting site with tutorials and EXCELLENT videos on painting. Unlike some others (MWG), He doesn't drown you in HORRID music loops.
Table-Top Terra-formers - Nice site with hints and tips abounding!
TerraGenesis - A forum site all about terrain.
Terrainosaur - A site with nothing but tips and tutorials. Great to check out.
Tectonic Craft Studio - Very cool, wooden scenery parts. They have base parts, scenery and all kinds of cool bits and bobs.
Battle Systems - Tabletop Wargame Scenery - These guys make some really nice paper scenery that you print out, glue to cardstock and build. I'm not saying Zone Mortalis, I'm just saying zone mortalis without the Forgeworld price tag...
BlogsFour go to war - Henry South's page. just go... now...
Whiskey and 40k
Valejo Paint company Blog
MisterJustin.com - Justin from Secret Weapon Miniatures
James Wappel Miniature Painting - Painter extraordinaire
The Wargamers Consortium