Warp
ALL THE CRAZY SHIT GOES DOWN HERE.
Also called the "Empyrean", "Immaterium" or sometimes simply "Chaos", the Warp is Warhammer 40000's H.P. Lovecraft-inspired Grimdark answer to the "Hyperspace" trend that's universally present in almost all Space Opera for faster-than-light travel and communication: a sort of Eldritch parallel dimension where the laws of physics no longer exist and is primarily composed of psychic energy, shaped by the emotions, worst nightmares and most disgusting rape fantasies of those living in the real world. Think of the warp as a mixture between Hell, the everchanging chaos of Limbo The Far Realm, /b/, the criminal-infested deep web, and a public toilet clogged full of shit, trash and worms, it works a bit like that.
Every little thought or emotion affects the Empyrean to some degree, most people can't do much to the warp on their own, but lots of people thinking similar thoughts or feeling similar things will have an pronounced effect, especially if said people are psychic, ala Carl Jung's "collective unconscious" and the world of Mage: The Ascension. Gods, who specialize in specific forms of thought and feeling, are born from this place when psychic energy accumulates with a critical mass (an example is the Emperor created by countless shamans committing suicide at the same time). This is the reason why the Chaos Gods, are well, chaotic to the extreme, because the Material Universe and everybody inhabiting it are themselves chaotic to the extreme and in need of serious psychiatric therapy.
According to parts of lore the Material Universe is affected by the big four Chaos Gods fighting each other for supremacy. If Khorne has taken the lead? A lot more fighting and war. Nurgle? More plagues and decay. Slaanesh? A lot more torture and rape. Tzeentch? When a lot of progression and/or aspiration to progress in some way happens (And since a lot of beings, Chaos worshipers especially, dream of progressing through the ranks to become more and more powerful, Tzeentch is never out of customers). Since there is only war, assume Khorne is in the lead.
If you're not a Chaos god, a Chaos Spess Mehreen or a Daemon, you have no business staying here without Sanity checks (Unless you're Kaldor Draigo, in which case you can freely stroll around, burning down Nurgle's Garden, Killing Slaanesh's personal Handmaidens and breaking Canon with every step). The Imperium of Man has shitty protection against it, and effectively plays a game of Russian roulette in hopes that they wouldn't get themselves dismembered alive in 11 dimensions speeding towards wherever the Empra tells them to. Which of course means that all the races of the galaxy flock to the Warp like dumbass boy scouts to a knot-tying badge, except for the Tau (who are only just discovering these horrors awaiting their tasty naivete, with their primitive Warp-Drives only skimming the stable surface of the Warp), the Necrons (Which hate it, and thus use a Star Trek-like FTL that functions in realspace and therefore does not need the Warp. FUCKING CHEATERS.), and the Tyranids who use wonky gravity manipulation to get around when they need FTL travel. The Eldar and Dark Eldar are also somewhat cheating, as they use the Webway which is like a complex network of highways through the Warp once engineered by the now-extinct Old Ones when the Warp was a lot more stable back then, a lot safer but a hell of a lot easier to get lost in. If the Warp is the deep web, then the webway is like Tor, which provide an anonymous safety from being 1337 H4X0Red by the FBI, sentient viruses or horrendous cybercriminals, only that in this Tor you'll have to encrypt all the confusing maths and find the global servers yourself.
However this doesn't mean there are no benevolent entities in warp, the problem is that either that specific benevolent entity is the Emperor (who's now catatonic while his soul is being used as a psychic navigation lighthouse in the Warp called the Astronomicon), or they interfere with Materium once in a billion years, and when they do, they actually do nothing of significance. Also, benevolent entities would get consumed by evil entities, and/or are quickly exaggerated or warped into something evil.
Related phenomenon
Just as with Earth's oceans, the Warp occasionally has storms here and there that block all shipping within the neighborhood. Warp storms were largely responsible for the collapse of the pre-Imperial human civilizations, when every planet was suddenly isolated and left to the mercy of daemon-possessed psykers.
The Warp also plays havoc with space and time. Journey times through the Warp are variable and not possible to predict with great accuracy. A given journey could take days or weeks depending on your luck. If you're really unlucky, a journey that usually takes days may take centuries, while you only experienced a few hours of travel time, so the war you came to fight is long over and everyone you know is dead. You might even wind up at your destination several several weeks before you set off, and enjoy the priceless looks of horror on the faces of the inhabitants of the planet below that they're about to be hit by an Ork WAAAGH! This is certainly a great way for shitty writers to resolve plot holes and inconsistencies. "Timey-wimey, warply-darply, stuff."
History
Supposedly (according to many theorists) one of the earliest encounters of Humanity with the horrors of the Warp occurred with the ship Event Horizon. While the ship's gravity drive did successfully open a gateway in spacetime, it leapt outside the known universe and into another dimension, described later on by Dr. Weir as "a dimension of pure Chaos, pure evil". The Event Horizon has since then gained an evil sentience, telekinetic abilities and some grimdark Gothic aesthetics, tormenting and mind-raping its occupants with the aim of compelling them to return to "Hell".
During the time of the dinosaurs and before, the Old Ones were cranking out powerful psykers like there was no tomorrow shitting out creatures like Orks, Eldar, Slann, and who knows what else to fight the endless tide of mummy robots and star eating, life energy nomming lovecraftian energy gods, and they still lost. All the RRRRRRRRRRRRAAAAAAAAAAAAAAAEEEEEEEGGGG!!!!!! felt during the fighting by all those powerfully psychic races as they fought and died changed the warp in the milky way from a calm place where you could get anywhere you wanted without much trouble and do so very quickly into the hell hole it is now, minus the daemons. Instead, there were squid jellyfish parasites called Enslavers who would mind control psykers and eventually turn them into a warp portal which would both kill the psyker and allow more Enslavers to come out. (They still show up every now and then to make life miserable for everyone else in the galaxy.)
The Eldar hid like a bunch of pussies in the webway system while the few remaining old ones who weren't killed by the Necrons and the C'tan were wiped out by the Enslavers, the Slann... did something, and the Ork survived -- OI! SHUT IT, YOU! *STOMP*
'cuz orks iz neva' beaten in battle, 'spechiallee not by schome jellee 'eaded grotz. An' dem necron boyz an' der C'tan godz went an' slept cuz dey 'ad no moahr food ta eat. Den dem jellee 'eaded grotz left an' da orkz were da boss o' da 'hole galaxie, but den dem puny Eldarz came outta 'idin an' gave us a good stompin'. Den millionz a yearz later da humiez' big boss; I fink dey call 'im da Empraz a' somefink waz born, den wayz later da humies got sick so much dat da big tub a lard called Nurgle was born but 'e 'ad no kunnin' see and den dem Daemon boyz started poppin' up in da warp, den later da puny humiez did so much fightin' wit demselves dat da grot called Khorne waz born, den dey got sick some more cuz dey were grotz and Nurgle found 'iz kunnin'. Den de humiez got more kunnin' an' dat runty squig named Tzeentch waz born.
Den da humiez mekboyz built dere ships an' got into space an' met da Orkz an' Eldarz and got more an' more kunnin', but dey never could beat da Eldarz cuz dere teknologee and weirdboyz waz betta an dey were moahr kunnin', an' dey could neva' beat da Orkz cuz Orkz iz neva' beat in battle. Cuz da pansies had no one good ta fight da Eldarz got lazee an' 'ad played so much dat da git called Zlaannecksh waz born and made a big 'ole in reality dat ate all da central planetz a' dere 'empirez an' made dis big 'sykik scream dat killed a bunch more a' dem puny Panzees. Den dere godz got a good stompin from Slaanesh who was moahr killy den de Eldar Godz, da Eldarz' big boss Azurian got stomped by Zlaanecksh, but da Eldarz' killiest god did some good fightin' with Zlaanecksh while dere tricksee god hid like a grot. Den Khorne came an told Zlaanecksh dat da Eldarz killy god waz 'iz an' gave 'im a good stompin that broke da Eldarz killy god inta pieces. Eacha dem god-bits is in da heart of Panzee city-ship-world-thing an' when da panzees try to stomp on us they bring da god-bit along dat kills lotsa lotsa boyz before someone can smash it.
NOT ANY MORE! Thanks a lot Matt cocksucking Ward
Things to do in the Warp
If you're NOT Chaos or Chaos affiliated GET THE FUCK OUT AS QUICKLY AS YOU CAN.
Stop at the warp equivalent of a truck stop, a certain chaos god may or may not be waiting to rape you in more ways than one.
Eat the sushi, it's warp-tastic.
If you're Chaos or Chaos affiliated please visit you local commissariat and file for execution.
If you wandered into the formless wastes, find a way out. Chaos Undivided is a bit boring.
If you wandered into the Fortress of Khorne try to beat something up. You might become a Bloodletter.
If you wandered into the Palace of Slaanesh get laid. You might become a Daemonette
If you wandered into the Garden of Nurgle get yourself sick. You WILL become a Plaguebearer.
If you wandered into the Maze of Tzeentch do random things. Something will happen.
If you're Kaldor Draigo, troll away.
If you're NOT Kaldor Draigo, meet up with Kaldor Draigo and troll together.