Somehow, the Games Workshop license still hasn't managed to produce a better 40K real-time strategy game than this ancient (and let's be honest, kinda' ugly) entry from Relic Entertainment.
While a lot of fans were enamored in the first few days, the luster of Dawn Of War 3 wore off pretty quickly. Between bugs in the campaign and the fact that the single-player mode was basically a tutorial for the game's mutliplayer component, things went downhill fast.
Skip that title in the series and come back to this hallowed classic instead. The story campaign of the original Dawn Of War is still incredibly solid for its age.
If you just want to jump into some RTS action and take over territory, though, both the standalone Dark Crusade and/or Soulstorm "expansions" are the way to go. You can grab all of them at Steam or GOG for a very reasonable price these days.