The following is a few tips for the Warhammer 40K Campaign game. It concerns the strategic aspects of the game, as the tactical part is determined on the tabletop...

Protect your capital!
Even if you don't play with the victory conditions that ends the game if a capital is claimed by an enemy, the capital is still very expensive to rebuild, so it is of great importance that you protect it well Build a large garrison and a lot of defences in the Fortress, and keep at least one detachment in or adjacent to the hex. If you are worried about sneak or drop pod attacks, keep a detachment or stronghold with a garrison in a hex adjacent to the capital. If your capital is captured by an enemy this will prevent him from claiming it (as he will be in your ZoC), and you will thus have a chance of recapture it.

Resources
The BP income from resources is vital to build new detachments etc., so protect your resource hexes and try to claim the enemies hexes. Convoys are vulnerable to enemy attacks or raids, so keep them behind your lines. If your convoys are wheeled, then they can't enter forests, hills etc., so build roads through such terrain when required.

Detachments
When building a new detachment, try avoid to high a complexity, as this will increase the time required to build it. This means that you should include a fair amount of Troops compared to other types (Elite, Heavy Support etc.)
Remember to include scout units in your detachments, as they will be effectively blinded without them.

Detachment Experience
As a detachment gain more and more DXP, its maximum point allowance (its 'size') increases. A veteran detachment (10 DXP) is allowed another 250 pts (1750 pts), and more experienced detachments even more points. This have a great impact on battles against smaller detachments, and it is thus worth giving attention. On the other hand a detachment needs to reinforced to take advantage of the available points, and this means that it is away from the front line for a considerable amount of time (it has to move to an appropriate urban hex, often the capital, then it have to be reinforced, which takes some time, and then it has to move once again). Whether a detachment should be upgraded or not thus depend on the situation, but detachments with more than 20 DXP or more should have upgrading as a top priority, as they with their new size (2000+ pts) will be deadly to the enemy.

Battles
It is often a good idea to have two detachments, a large and a smaller, supporting each other. The large detachment fights the battle, and the smaller supports it, as the amount of units a detachment can send into a battle as reinforcements does not depend on its size (unless, of course, it has sent all its units into action). Such a 'support' detachment can use artillery units to good effect.
Don't waste damaged detachments in 'no-win' battles. It is only half the cost to 'repair' the detachment, compared to build a new.

Drop Pod detachments
They can be very effective, either as support to an attack (drop on or rigth next to the enemy), or by hitting deep in enemy territory, where there is little resistance. They can even be used to attack an enemy capital and thus finish the game. This will probably require the cooperation of numerous drop pod detachments, but if the enemy is unprepared such an attack can be decisive for the game.

Tips for a few of the armylists:

Space Marines
Use your drop pod detachments effectively, they are your main asset.

Imperial Guard
You are strong defensively, so use this advantage. Build strongholds in important hexes, and try to let the enemy attack your detachments when they are protected by them. 'Artillery detachments' (armoured companies with lots of artillery) are highly effective when used as support in defensive battles (placed one or two hexes behind the front line) or attacks against enemy Strongholds, but don't let them be attacked themselves.

Tyranids
Attack, attack, attack! Claim as many hexes as possible (especially resource and urban hexes) and attack quickly. As long as you expand and win battles you get lots of BP, but don't end up in a war of attrition.

Orks
Your standard ork-boyz can be built in any urban hex, which makes them easy to replace. In addition they recover quickly, so don't be afraid to include lots of them in your armies.

Dark Eldar
Use your speed and two hexes raid range to capture convoys and raid weak detachments. Be careful when the enemy launches a major offensive, as your defensive capabilities are limited.