For those of us who are not made of money, here’s a video on making a relatively inexpensive Imperial Knight proxy for Warhammer 40k
The Warseer forums have an interesting thread on using Games Workshop’s Lord of the Rings battle game to run Warhammer 40K skirmish games.
This video shows how to use basic packing inserts to make effective Necron Tombworld terrain for Warhammer 40K.
Rocket Ship Games has a set of tokens and markers for Warhammer 40K free for the downloading.
Looking for an alternative to Warhammer 40K? Who isn’t? This may be it. Even better: these wargames rules are free. Ivan Sorensen’s Fast and Dirty rules also would work for modern combat.