Ok, here's a collection of thoughts for you.
If modeling is your thing, but you don't have all the time to sink into playing full games of Warhammer 40k, or you're on a budget; then you would probably be interested in some of the Specialist Games. The Specialist Games produced by Games Workshop include Battlefleet Gothic, Bloodbowl, Mordheim, Necromunda, and Gorkamorka to name a few. The idea behind these is that you have a small warband (or fleet, in the case of BFG) which can be customized and can get more powerful or potentially weaker as play progresses. These games are designed with campaign play in mind, and work much like a Pencil & Paper RPG. Characters gain experience, level up, get new skills, and can possibly die permanently.
I've played BFG, Bloodbowl and Mordheim, and am starting to play Gorkamorka. While Mordheim had opportunity for customization and conversions, so far nothing has matched Gorkamorka for being able to model things the way you want. I will be starting out with a warband that consists of 6 Orks, with 3 bikes. The legs, arms and head will all be magnetized to allow me to switch out weapons, body parts and cybork pieces if they happen to have an interesting trip to the "Doc's Surjery."
An excellent resource for Gorkamorka information is the Unnamed Gorkamorka Site (or tUGS). It's loaded with homebrew rules, warbands and a collection of articles on modeling and places to purchase models.