Warhammer: Fantasy world. I didn’t get into 40k that much, and that world, especially in End Times before killing it off for a remaster was so vivid, morbid and satirical. Having both strategy and shooter games of a refined quality helped it too.
Other than that, MythAdventures by Robert Lynn Asprin. Isn’t consistent, didn’t age well, but I love to reread these books from time to time. I really liked some jokes and characters here.