Wikipedia:
Warhammer Fantasy universe
Advanced HeroQuest
Kerrunch - a simplified version of Blood Bowl.
Man O' War - a game of naval combat in a fantasy world. Two expansions were also released, Sea of Blood and Plague Fleet.
Mighty Warriors - a simplified version of Advanced HeroQuest.
Warhammer Quest - a game of dungeon exploration and questing, effectively an updated version of Advanced HeroQuest.
Warhammer 40,000 universe
Adeptus Titanicus (original game in the Epic series, which concerned combat between Titans.)
Codex Titanicus - expansion rules for same
Advanced Space Crusade
Bommerz over da Sulphur River (Board game using Epic miniatures.)
Epic 40,000 (precursor to Epic Armageddon, although some people still use the terms interchangeably, alongside Epic.)
Gorkamorka
Digganob (an expansion for Gorkamorka)
Lost Patrol
Space Fleet (Simple spaceship combat game from before Battlefleet Gothic)
Space Hulk (three editions were published, expansions are listed below)
Deathwing (expansion boxed set)
Genestealer (expansion boxed set)
Space Hulk Campaigns (expansion book in both soft and hard-cover)
Space Marine (original Epic-scale game concerning troops and infantry, 1st edition is a pair with Adeptus Titanicus, 2nd with Titan Legions)
Titan Legions (effectively an expansion of Space Marine, though it extended the game system)
Tyranid Attack
Ultra Marines - introductory game in same series as Space Hulk