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Basically, in the future there's a giant space magic hole where demons live. There's four demon gods:
Khorne, god of killing things and skulls
Nurgle, god of fat smelly zombies and disgusting things
Slaanesh, god of creepy deviantart porn and LSD
Tzeentch, god of really really complicated plans
And they have lots of armies that go around and kill people.
You know, like everything else in 40K.
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I could go into a long and boring post about how each one reflects aspects of man's insecurities, but I know better. Also, Tzeentch is god of magic.