Over the past decade, within my gaming group, we've had many pick up games, the forces and scenario being determined by a rule of "Who hasn't played each other in a while? What scenario haven't we tried in a while?" Those have been lots of fun. But with time I've been increasingly drawn to narrative scenarios/campaigns rather than unstructured "pick up games." I find that thinking about these story based scenarios is more fun than thinking about isolated games that have no larger context.
My biggest and arguably best Battle Report, The Assault on Morkandy Beach is the classic example. And yet, the victor of that battle was entirely predetermined. In designing the scenario, we decided from the beginning that the Imperial Guard were going to win the battle--the "drama", as it were, would be just how long and how many casualties it took for them to finally succeed. In many ways it was one of the most fun battles I participated in, and when I posted it, it got the most feedback of any Battle Report I ever posted (originally I had posted it on various message boards).
40k is clearly a "game" and most players view it as such, but in generating the Morkandy Beach scenario, I turned it into a "simulation." The primary difference between a war "game" and a "simulation" is that simulations frequently ignore any attempt at balance between the forces involved and/or their objectives. They address "what if" scenarios.
As I am a big history fan, this is the kind of game that interests me the most. In the real world, armies are never evenly matched, and generals have to make do with what they have. Increasingly, I find myself thinking less about trying to fit armies into specific points value (i.e., what can I make with 2000pts?) and thinking more about giving myself deliberate limitations on my army choice to fit the scenario. The game becomes less about winning, and more about what can I manage to pull off with the forces at my disposal.
Also, in the real world, opposing armies often have wildly varying objectives--beyond just "kill the other guy." 40k tries to deal with this aspect by assigning physical "objectives" to players, such that they have to take and hold specific points on the battlefield. This is a good start, but in making the game a "simulation", I like to go farther than that. Many of the more scenario based games in 40k and its supplements address than the 3 types in the main rulebook. But in general, even these scenarios are created with a view to maintain game balance--for each disadvantage one side has, it is given an advantage in another aspect to keep it fair. This is fine for the intended purpose, but think it can also be interesting to let the balance fall out the window completely if it makes sense for the scenario.
I know some players might view this perspective as madness--why on earth would you deliberately handicap yourself (or your opponent), either in terms of army selection or scenario? Isn't this the very definition of cheese (or stupidity, depending who has the advantage)? Well, for me it's not about winning, and it's not about handicapping myself with the goal of improving my skills as a player so I can kick butt in a regular, balanced game. It's about putting myself in the shoes of a "real world" commander, in order to get an understanding of the problems that one would face when dealing with a "real world" battlefield that isn't always fair.
But then, 40k is science-fiction. There ARE no "real world" commanders, dealing with "real world" problems on a "real world" 40k battlefield. But so what? I think many players would agree that games (of all kinds) are more fun if they have greater immersion. For me, I find it more fun playing a more "simulation" version of the game where I think more about achieving my objectives as an Imperial Commander (or Ork, Eldar, Tau, whatever), rather than defeating my human opponent in an abstract dice-rolling "game."
One of the beauties of 40k is that you can play it any way you want and have fun.