The Space Marines are often popular. Their super - human abilities and cool armor make them great for crossovers. They can be paired with characters from other universes and show off their combat prowess. Another popular character is Abaddon the Despoiler. His menacing presence and leadership in the Chaos forces can create some intense crossover storylines.
In Warhammer 40k crossover fanfiction, Eldar characters like Yvraine are quite popular. Her beauty and mysterious powers are appealing. When she's crossed over with characters from different settings, it can lead to some really interesting interactions. Also, Guilliman is a popular choice. As a key figure in the Imperium, he can represent the might and order of Warhammer 40k in crossovers with other universes.
One of the most popular characters to feature in crossovers is Magnus the Red. His psychic powers are extremely powerful and his complex backstory makes him a great character to incorporate into crossovers. Whether it's a crossover with a universe that also has powerful psykers or a more mundane one, Magnus can bring a lot of drama and action to the story.