Actually, on a related note, are the eldar of 40K the same as the elves of Fantasy? They seem analogous, and I have always been under the impression that 40K was the future of the Fantasy universe...
Eldar are kind of "space elves," yes. I think the 40K universe is the future of our world though, not the WH Fantasy one.
There's actually alot of different races in the Warhammer universe. However, the Imperium is (mostly justifiably) xenophobic, killing any and all non-humans (and mutant humans) on sight.
Other races that exist:
Eldar - An ancient and dwindling race with a long, sad past. They pretty much have no hope at all and are dying out.
Dark Eldar - A sect of the Eldar. I don't know much about them, but I think they worship the Demon God Slaanesh, god of pleasure. Maybe regular Eldar do too.
Orks - Actually a kind of fungal infection (I'm not kidding, they grow from spores). Orks are almost impossible to eliminate from a world once they infest it (usually by crashing stolen/abandoned space hulks onto a world) for this reason. If they infest enough worlds, their growth will become exponential and the Imperium is pretty much doomed.
Tyranids - A giant insect-like race that travel about in huge hive fleets. Supposedly their "invasions" that take out whole sectors are actually just probing raids for the main fleet on its way from the last galaxy they conquered. If their main fleet arrives, the Imperium is pretty much doomed.
Necrons - Undead machines built by some ancient malevolent machine gods that sleep in their tomb worlds. If the machine gods awaken, the Imperium is pretty much doomed.
Chaos - Led by some defected/mutated Space Marines (the strongest, most elite forces in the Imperium) chaos comes through rifts in to the warp (the alternate dimension of madness, chaos, and evil). Only the might of the undead Emperor and the thousands of psykers they sacrifice to him each day keep the main rift to the Warp from openning further and the Demon Gods and Chaos from overrunning our universe. If the Emperor ever dies, the Warp tear will come completely open and the Imperium is pretty much doomed.
Tau - the one bright light in the WH40K universe. A race of rapidly advancing humanoids (like, apes to space travel in 10,000 years) that are actually willing to work with other races. Their main downside is they don't use Warp Travel (WH40K's FTL travel, dangerous since it is pretty much space hell) so it takes them hundreds of years to travel from star to star. The Imperium, of course, shoots them on sight.
I think that's all of them.