Damnation Crusade

Damnation Crusade, also known as The Black Templars Fight Everyone Ever" is a graphic novel written by the illustrious Dan Abnett. It follows the adventures of three members of the Black Templars: Raclaw, an excited neophyte recruited from a feral world, Gerhart, an overzealous marine who's a bit too chainsword-happy, and the dreadnought Tankred, who gets all the bitches. The clever tweest at the end is SPOILER ALERT they're all the same guy, at different stages in his life.

This comic is also notable for featuring nearly every other army in the canon. In order, the Templars fight necrons, tau, orks, eldar, and Chaos, topping things off with a daemon prince. It is more or less the quintessential 40k comic. If you have not read it you should obviously be ashamed of yourself.