I play many historical wargames(eg. World in Flames, Third Reich, Empires in Arms, Adv. Squad Leader, Wooden Ships and Iron Men) and enjoy them very much.
I have found many historical situations make terrific scenarios for 40K or WFB;
Operation Market Garden
The "hold the bridge until relieved" situation the British paratroopers found themselves in in WW2. Outnumbered, outgunned, but nowhere to run and a job to do. Deep striking Marines or Eldar lightly equipped must hang on until heavy reinforcements come.
Battle for Stalingrad
The ultimate German-Soviet meatgrinder mission from WW2. Urban combat at its most terrifying. Objective: Kill the Foe, take the Factories. Sounds like a last man standing game to me.
The Retreat of Napoleons Grande Armee from Russia in the snows of winter.
Can your troops cross the length of the table with low ammo, no support, and mobile enemies hammering you from all sides, in horrible weather? Perhaps a defeated Chaos column trying to escape the mobile Eldar hit and run attacks from all sides.
Thermopylae
Massively outnumbered, but well trained Greeks hold the Persian Horde off at a narrow pass? Sounds like Marines vs Orks...
Sparticus' Slave Rebellion
Can the rag-tag army of rebel slaves and gladiators defeat the professional army of the Roman Legions using superior maneuvers and tactics? Rebel IG with an inspiring leader (like Yarrick) against Space Marines is a good comparison.
El Alamein
Desert tank battle where Montgomery finally beat Rommel in WW2. Can your tanks brave the mines and antitank defences of the opponent to break through his lines and reach the other side of the table. Monty's did. IG vs IG tank fest!!!
There are MANY more and they add alot to your games. Sure beats a CLEANSE mission. (Our objective is to spread our army evenly across the corners of the battlefield... WHAT!!!!)