I've run Dark Heresy and Rogue Trader on and off, and enjoy the system. However, it is crunchy, and can be lethal. That being said, there were substantial changes in Dark Heresy 2.0 with regard to weapons, and I think skills (still d100 though). And Wrath and Glory is a different system, as noted.
I end up using them (1e versions) as a rough framework, for lore and situations, and then "work with" the rules when skills and combat break out. Keeping track of all the modifiers - aiming, Ballistic skill, target cover, range, injuries, etc. over and over can get a little much, so we often fudge it a little to keep it simple.
The other element that takes getting used to is that really, in both DH and RT, money doesn't matter. In one, you're the retinue of an Inquisitor with almost total power, and can basically requisition whatever you want to get the job done. Now, plot, and adventure might require more stealth, or less obvious blunt force approaches, but I never saw any reason to not give the platers what they requested for a mission.
Likewise, in Rogue Trader (I think roughly on par with a Dark Heresy character with 3 "Levels"), one player is the owner of the starship. The rest are the captain's retinue (think Trek bridge crew), where they all go on away missions or get into fights on excursions into the far reaches of the universe where no one travels, or fights off pirate or xenos attacks while transporting goods or services from system to system, or is asked to transport these Inquisitorial agents to another planet, etc. Again, the Rogue Trader character, being part of potentially a wealthy family, will have unlimited resources to throw at a problem - need 200 guys to storm the enemy ship? Grab some of your 20,000 crew, arm 'em up, and send 'em in. They won't be terribly effective, but hey... its Warhammer 40k.
I also have Deathwatch, which is a whole 'nother level of power. The party are all Space Marines, and while the concepts are cool, its a completely combat focused type of game (or feels that way). They do a decent job of extrapolating out how squads work as a squad, scythe through low level enemies and monsters who really aren't much of a threat, and then can break out of "squad mode" when the big stuff hits. Read through it, have not played it. But I enjoy the sourcebooks and expansions for reading purposes.
I think I enjoy them for the lore moreso than the gameplay, and reading about all the various types of weapons, equipment and armor and such. I'd love to play in a game, rather than run one, but players are few and far between in my experience.
Come to think of it, it seems like a lot of my RPG buys are for reading, not actually playing... hmm.