I had mentioned that watching the movie Hansel & Gretel: Witch Hunters had been inspiration for the setting but it is worth noting that there are a series of other sources that provide equally fertile ground to sow for content beyond the general corpus of the existing WH40K canon and quasi-canon. Just casting my mind out, another source of ideas might be the Riddick movies – there is a definite mix of science and mysticism there that might be fun.
I’ve always found Frank Herbert’s Dune series to be a great inspiration. It is worth noting that the 40K setting has also drawn on this source for at least some ideas – the Navigators being a prime example. And if there was a more directed slant that I could take it would be in this direction I suppose – not just the Frank Herbert books but the other canon written by his son and others. If nothing else because of how it handles a certain anti-technology attitude (particularly towards computers and cybernetics) that is replicated somewhat in the canon WH40K setting.
While I’m not sure exactly what I would take from the setting, Marion Zimmer Bradley’s Darkover setting is explicitly a “lost colony” setting that mixes sci-fi and fantasy tropes in a very similar manner to WH40k. The same could be said for Andre Norton’s Witch World series, and I have to suspect that her “Free Traders” provided at least a bit inspiration for the “Rogue Traders” of WH40K. I could also poke at E.E. ‘Doc’ Smith’s Lensmen for some ideas as well.
I’m kind of struck that these are all pretty “classic” speculative fiction writers.
More recently in genre I’d be looking at Steampunk for some ideas – again in how things like cybernetics would be handled, as well as fashion and attitude. Plus, something which is trying to look at things at the “height of Empire” rather than the decadence of a fallen or dying one. That said, I was watching Spartacus today (the TV show) and could certainly see a place for the bloodsports as an illustration of the sort of ruthless brutality that even the Lost Imperium could display. While not Steampunk in the slightest, Susan R. Matthews scifi Judiciary novels also provide a good example of the sort of ruthless legal code that might be evident.