Making it fun!
This seems like an obvious thing, but your RP can easily go from fun to boring or annoying. I'm one of the players in CoheeD's group, but I also GM for two groups of Deathwatch. I'm still relatively new at being a GM, but what I lack in experience I hopefully make up in my attitude to learning and applying the knowledge gained. CoheeD has mentioned some very good points on immersion and controlling your players, so I thought I'd help and contribute a bit.
So back to the topic of making it fun, as the GM you have to set the world for your players and you accomplish this by using materials given to you by the RPG and your own creativity. One thing to keep in consideration is would you enjoy playing your own story as a player? How would your current players think of the story? This can be tricky if you're GM'ing for people you don't know very well, so maybe start with some standard missions / scenes just to get your players used to each other and you, then go from there. If they are new to RPG's in general then taking it slow with relatively easy tasks is a good way to start without making your players feel overwhelmed. Nobody likes to be hit with big boss fights so early, so gauge how your players are doing and plan accordingly.
Another thing to take into consideration is the rules, or more specifically, following the rules. Now as your job as a GM you have to make sure that the rules are followed, but being too strict will only aggravate your players to the point that they might quit. So sometimes be a little bit flexible, but obviously flagrant abuse of your leniency isn't fun for you so know when to draw the line. Sometimes some fun and interesting things can happen if your players can keep guessing at what they can and can't do, as this will hopefully spur their creativity while still realizing you are the GM and you do have final say in most matters.
So back to stories / missions, while doing the standard missions are a great way to start they do lack a certain personal touch sometimes. For Deathwatch the missions given to you fill you in on important details while leaving you to fill in the rest with immersion and good storytelling, this allows you to mess around with the mission a bit but overall it'll have some form of linear ending. During this time you'll want to make sure your players are having a good time, and if not adjust the story a bit to bring their interest back in. Of course just using this framework missions is ok, but sometimes completely making up missions for your players allows you to shape the story however you wish, and with these stories I try to add a bit of non-canon things if possible. For one mission I made up, while fighting Orks on a jungle forest planet, I had my players encounter small furry creatures similar to Ewoks. This lead to many references of vehicle smashing and imperial bashing. In the end the planet was extinguished by exterminatus due to excessive ork infestation, and left one of the players deeply saddened over the loss of a pet squig (I couldn't let him keep it so I warned that if anyone's weapon jammed it'd get shot, which happened not soon after O_0).
So in summary, try to make it fun while still staying within the rules if possible but don't be worried to momentarily ignore or change them if it's bogging the game down (you are the GM afterall). Adding some fun elements into missions that you know your players will appreciate is a nice addition. So remember to see how your players are fairing, give them a challenge while still having some fun, and your players will love you forever.