Games Workshop offers a free pdf of its Warhammer 40K battle primer, which contains basic for moving, shooting, fighting, using psychic powers and morale, along with other material to get you started.
Net Epic is a set of free wargames rules based on the old Games Workshop Second Edition Space Marine.
Rules Crusade is a complete rewrite of the Warhammer 40K, Mordheim and Necromunda wargames rules to use the old Milton Bradley Space Crusade system. Its well done, but I’m not sure why Sean Patten went to all the effort. I’m also not sure why GW’s hordes of lawyers haven’t descended upon him and turned him over to the Inquisitors.
Turnsignals on a Land Raider is a very funny, very professionally done cartoon satire of Warhammer 40K. The strip focuses on a newly recruited group of plastic figures from “The Emperor’s Pointy Sticks” chapter of Space Marines.
Rocket Ship Games has a set of tokens and markers for Warhammer 40K free for the downloading.