Because. Chaos is a deviation from the norm - chaotic - disorganized - messy - and - immoral. That is the point of escapism achieved in games, movies, books, etc. To take part in shaping this world by creating chaos, making it burn, with no point, is appealing. Plus, it is an outlet for anger. Oh yeah, they look cooler than space marines, eldar, and the dopey pirate orks.
I'm going to go with the Space Marines. I've always stuck with the Empire in 40K, and the Space Marines have earned my loyalty through many battles. Pluss I like their lore
Orks are just so much fun in the Warhammer Universe, I just have to have one. Eldar are awesome as well, I duno Everything but Chaos
Space Marines. Why? Because there's no Imperial Guard And because there's nothing better than a bolt through the head of a heretic, smell of the burned xeno, and a sound of achainsword ripping through the body of a mutant.