Take no Prisoners!

The 40k Universe is a dangerous place.

In the real world, last stands happen in wars, but are generally uncommon (at least in modern times). Far more common is that once a side realizes it's been beaten, it surrenders. The hope of a prisoner is that they'll get to sit out the rest of the conflict and be able to return home (if it still exists) and live a semi-peaceful existence. Frequently that doesn't happen, but it's the hope. That hope, even if possible, is usually chosen because it is perceived as being better than the alternative at the time--which is usually death. 

Not so in the universe of 40k. There, nearly all wars are wars of extermination. "In the grim darkness of the far future, there is only war." Well, not really. More like genocide.

Let's examine the various races in the 40k Universe and the viability of surrendering to them:

Imperial: Humans are so xenophobic they won't tolerate aliens to survive. Individual humans might be able to live alongside aliens, but the official stance is that the only good alien is a dead alien. On the other hand, Imperials surrendering to Imperials (in the case of rebellions or civil wars) is possible, but not usually wise, as the rebels are almost invariably executed anyway.  But there's the slim chance of performing hard labor in a prison for 20 years, tortured, and then killed.  So there's somehing, I guess.

Eldar: Eldar, if they don't exterminate an alien completely, are more likely to just drive an enemy away. If they won't leave, they the Eldar will kill them. What possible use do prisoners have? I can see that if anyone surrendered to Eldar, if they did not kill them outright, they'd disarm them and maroon them on some out of the way death world where they wouldn't be a threat. But only if they were feeling very generous.

Orks: Orks could conceivably take prisoners to use as slaves, but they'd have to restrain themselves from just stomping you. But why bother, when there's already plenty of Gretchin to serve the purpose? But I suppose its possible.  I can see a Mekboy using slaves to help him build some nefarious device and incorporate your race's technology into it.  He might even keep you alive for a while if you do a good job.  But then when you succeed he'll pat you on the back so hard it'll break your spine.  Then he'll send you to the Painboy, who'll chop off your head and sew it back onto another's body.  And that's likely to be the end of the road.

Necrons: Rend the living. Not so bad, considering that's all they'll do to you.  Except maybe wear your skin after they kill you.  But I guess that's better than wearing your skin before you die, which is what the Dark Eldar will do. 

Chaos: Surrendering to Chaos is hardly an option, unless it is done so by trickery (think Slaanesh or Tzeentch), in which case it's not really surrender as it is capture. An eternity of being tortured isn't as good as it sounds.

Dark Eldar: Like with Chaos, death is preferable to capture by these guys, so surrenders generally won't happen. They do take prisoners, however, and you really don't want that to happen.

Tyranids:  Nom nom nom.

Tau: Here we go...a race you can surrender to and they won't kill you out of hand.  But the Tau are still a minor player in the grand scheme of things.  They're not like to survive much longer.  But hopefully you can get captured by them and live in peace.  That is, before they get wiped out by an coalition of all the other races who band together solely to eliminate this upstart race that violates the galactic take no prisoners rule.

With so few options, it's no wonder that most 40k battles have horrendous casualties and most of the time combatants die where they stand.  Considering the alternatives, one would think that heroic last stands are so common in the 41st millenium that they've become passe.