My heretics have gone through quite a lot of cool things, mostly because of failures or weird happenstances.
So far they have accidentally destroyed a hive city by accidentally failing a ritual and thus summoning a Greater Daemon of Khorne(instead of a mere lesser daemon of Tzeentch).
Recently they started a mole mutant farm near their base of operations in Ragged Helix (the fortress that they anointed with the blood of their enemies and actually did their first succesful ritual).
Due to our apostate failing most of the rituals he has done so far, he has gotten quite a interesting mix of gifts. First he got Featureless Face through failing and then later Pseudo-daemonhood through ritual failing. Last one he got was a pair of Magnificent horns, also through failing. So currently he looks like a mix of a horror and human, whose face is featureless and he is also sporting awesome horns. Good thing that he got mark of Tzeentch so he can actually use his telepathy powers to communicate with people
How I started the campaign was that the players got first caught by the local arbites and then sold to Chaos Reavers by a corrupt official in their homes in Koronus Expanse. Then they got hauled by the reavers to a Chaos Warlord along with thousands of others such victims. These slaves of heresy were then hauled in a cargo container to a hive planet in Calixis sector(the players had no idea where they were until the very end when they escaped the planet) after being told to "prepare the planet for the coming of the hosts of Chaos" and being marked with sacrificial blood and receiving a crash course of what Chaos offers to mortals.
So there they were, a bunch of to that point loyal-ish citizens of Imperium, in a weird planet full of people(all the players were originally from a space station, so it was truly a scary place to be), knee deeps in heresy because of corrupt Imperial proceedings and knowing full well that a Chaos incursion was coming to the planet. It was quite interesting to see what each player wanted to do after that. After the incursion arrived after Tyrant Star's appearance and they were hauled back to the warlord's ship to be told that one person/group of the groups that survived was destined to do great things according to a prophecy also gave me a good tie-in to run the story Black Crusade core book.