van Riebeeck said:

I see few ways: 1. Go to Terra.

2. Screw it and stay hidden/unlegal but loyal to humanity and moraly pure.

3. Screw it hard and go all Chaos.

4. Strangest one: go soul-bound with something/someone diffrent than Emperor or Chaos. In the description of soul-binding it says "bound to a higher purpose or being", so if you don't care about being cool with Inquisition, yet still want some kind of protection. Few examples I can think at the moment are: Kaelor Inner Circle, Processional, maybe Witch-cursed world. Bit wicked, I admit :D.

Since Armageddon and Cadia have been mentioned - it depends how close you want to stick to GW material and in which timeframe you play, but FFG's RPG seems to take place before the 2nd and 3rd War for Armageddon as well as the 13th Black Crusade. Also, if you play after the First Season of Fire of the 3rd Armageddon War, note that the Imperium projects the area to remain a warzone for several decades more (meaning way into M42) - the many Orks still in the system won't be routed just because a single RT comes along, especially since most Space Marines have currently withdrawn as the current phase of the campaign is "trench warfare" which doesn't suit well to Astartes Blitzkrieg tactics and shock strike capabilities. Unless of course you do something legendary, depending on what style of gaming one would be aiming for. ;)

Cheddah said:

"With Warhammer and Warhammer 40,000, the notion of canon is a fallacy. […] Warhammer and Warhammer 40,000 exist as tens of thousands of overlapping realities in the imaginations of games developers, writers, readers and gamers. None of those interpretations is wrong."
-- Gav Thorpe

"It all stems from the assumption that there's a binding contract between author and reader to adhere to some nonexistent subjective construct or 'true' representation of the setting. There is no such contract, and no such objective truth."
-- Andy Hoare

"There is no canon. There's a variety of sources, many of which conflict, but every single one is a lens through which we can see the 40K setting."
-- Aaron Dembski-Bowden

What you are referring to is probably the "everything and nothing is true" line from BL editor/publisher Marc Gascoigne. ADB was so kind as to repost it here.

In the end, 40k is what we make of it - that's pretty much the essence of Gav Thorpe's entire blog post linked above. GW seems to want us to "make the setting our own", which might explain why there are so many gaps we can fill with our own ideas:

"The back story presents questions, enigmas, problems, and conflicts. Gamers explore and solve these issues by playing games and developing armies. In short, the background provides the beginning, but the players provide the end. What is Cypher up to? Well, he's up to whatever you need him to be up to for your games and campaigns. What does the cult mechanicus have to do with the dragon? Whatever you want that relationship to be.
The background should be like Schrodinger's Cat - nothing is defined until the players look into the box by playing games and determining the outcome for themselves. Backgrounds should be full of possibilities to be exploited and expanded by players, not answers that limit the potential of the game and its setting."
- WD #302