A space hulk, definitely, but not crashed ; something like an one way unforgiving instanced dungeon for a handful of highly experienced players, granted with terminator honor. You die you don't respawn, you don't come back : one chance and one chance only to fulfill the mission.

Devs playing as tyranids (genestealers) highly recommanded

If we are talking locations in general then going as a spectator to an arena in Commorragh then exploring the city and somehow getting out alive.
In-game perhaps a sealed laboratory on mars the moment the Men of Iron come back into operation and start wreaking havoc. The mission could be to reach a certain piece of technology. Take it and get out with at least several members alive or just deactivate it.
This or Nurgle's gardens. Trying to save a captured commander and getting out with him.(it has been done by eldar if I remember correctly)
All of the propositions in the thread so far have so much potential for traps , random occurrences , path blocking(sealed doors , force fields , warp anomalies) and varying enemies that whatever the devs choose to do it can be incredible.

Necron tomb of course

Any large Hive City

I would like to see places we get a lot of descriptions of but have never seen before such as Craftworld the inside of a Necron Tomb and the Many Levels of a Hive City. Ultimately though it would be nice to see the Golden Throne.

I would love to visit sunny palaces of the Ecclesiarchy - huge gothic cathedrals, towering miles above the city, baroque puffy clouds all around, lit golden by duo of dying suns.

Poetic...

Crowded orbit would be also nice, with trading ships and rip-opened harbor station serving as platforms in zero G level - with battling fleet as a background display fireworks. Oh and Ordo Malleus ships performing exterminatus on the planet below us of course.

There are a number of locations, but an active Forge World resembling the likes described in novels, miles deep and constantly active with machinery would be sight to behold. As great a game as Space Marine was, the ruins and setting did seem somewhat lacking at times.

I still love it when you see the Titan for the first time through.