Some bit of Archaeo-tech that the Inquisition wants to get its hands on/the Necrons want back/the Eldar want to destroy/the Orks want to steal/the Tau want to study (hint, it's a Warp-gate-cum-drive-thingy)...
Or it's a sinister device built by a fiendish (and probably foreign) scientist-type who needs a jolly good biff in the jaw, what?
Or it's something blasphemous, cyclopean and eldritch, of no human aspect, a twisted thing from beyond the ravings of pathetic humanity, spawned from the primordial chaos of the nameless spaces between the stars where tentacled monstrosities writhe in endless ghastly torment: yadda, yadda, a'nds oona'nds of'ort-h...
In short, I dunno. Prolly a crashed spaceship (is the answer to 'what is it?', not 'what shall I make with it?')