Excel Character Builder/Sheet by Memetix
Hands down the best tool for building a character. It handles Dark Heresy, Rogue Trader, Deathwatch, and Grey Knight characters, and supports all rulebooks. If you are working on your character any other way you are working too hard. This will handle all calculations and options for you for those systems. Memetix is a great guy and can be reached on the FFG forums in this thread if you have issues.
The only pdf viewer you should ever use on windows. I can't recommend this product enough. It is by far the fastest pdf viewer out there, including foxit, adobe reader, etc. It also has tabs just like a modern browser making switching back and forth between lots of PDFs a breeze. Seriously, between the speed and the tabs, it will make you love PDF's when gaming! And of course almost all 40k products are available as PDFs now from...
Warhammer 40k RPG PDF's From DriveThruRPG
I love owning the physical books, but they are far less efficient when it comes to pulling up information quickly. Furthermore it's often very useful to be able to easily copy text and images from the books into your own documents/maps or to send to players.
40k RPG Master Bestiary
My list of all 1400+ npcs, vehicles, and starshps from all the books with book name and page number. Look up monsters by name, type, book, setting, or association in just a couple clicks.
Official Errata & Free Extras
Each system has an official support page with errata (must have) and free extras for the published books. Often very useful extras, but the errrata are critical for GM's. For example, the Deathwatch errata completely rebalances all weapons to reduce the number of dice you need to roll.
Dark Heresy | Rogue Trader | Deathwatch | Black Crusade | Only War
The Official Forums
Each game has a set of official forums on the Fantasy Flight site, including subforums for GMs. Tons of great advice, house rules, adventure ideas, world discussions and more are packed away in here.
The Official Fantasy Flight Rules Question Form
Submit your rules question here and they will answer it. Give them a break and do some googling/searching the forums first, but they will answer this! Usually takes a couple days though. Get answers from the guys who wrote the books.
40k Universe Information
Two huge wikis with all the information on all the parts of the universe. Fantastic resources. They often cover info introduced by the 40k RPGs too.