An over-arching theme in my Dark Heresy/Deathwatch Campaign has been The "Risen" Emperor. The nutshell version goes like this:
PCs get caught up in an ever widening conspiracy; eventually, they put enough clues together to realize it's not a conspiracy at all, but a sudden and dramatic change in the power structure of the Imperium; persistent inquiries are made until the PCs determine that the Emperor has "Risen"…and they all think "WUT!?"; certain Imperial institutions begin to jockey for supremacy, and there is much infighting, all the while the business of protecting the Imperium falls by the wayside and the PCs' work become exponentially more difficult; eventually, the "Risen" Emperor is verified, and when this sinks in their is a total collapse of Imperial infrastructure outside of the Segmentum Solar; Ultramar insulates itself and prepares for war on a scale to rival the Horus Heresy; the Segmentum Solar consolidates it reach and boundaries to within 80-90 core systems; news arrives that the Emperor is not at all pleased with the way his Empire has been managed in his absence, and he is cleaning house, kicking ass, taking names, but most importantly he's abolishing the Ministorum…and then all Warp breaks loose as the Imperial Church retaliates, Adeptus Sororitas so confused they are useless as invalids, Inquisition more than at loggerheads and viciously gunning for the top seat next to the Emperor's ear; the Iron Hands and the Adeptus Mechanicus come to an unprecidented arrangement, basically becoming the new Administratum (known as the Imperial Apparatus), with the Iron Hands raised to Legion Strength and set on the naysayers and holdouts as the Emperor's new personal Gestapo…and all the while the PCs have to deal as best they can, learn to adapt, or count themselves among the hunted.
Stole most of it from the Risen Empire duology, by Scott Westerfeld. I wish I could do literary justice in describing the Players' reactions. Trust me when I say the "WUT!?" was earth shattering. Sadly, this campaign is temporarily suspended. It became so very intricate, the Players were losing track of…everything. My bad, as I exposed them to far too much. Now I work on bringing all the loose threads closer, without having to crash the whole thing.
Meanwhile, we've started a new campaign. Simple, grass roots, feet on the ground, one planet, heretic geneticist antogonists (glorified drug smugglers), with an Inquisitor as straight as she can be after nearly 150 years. Regular pay, some perks, loose reins, low intrigue. My Players are eating this up, and it may be a while before we go back to "The Imperium Has Gone Completely To Shite" campaign…if ever.
Go big, but keep it as simple and localized to the PCs as possible. News travels relatively quickly in the Imperium, Astropaths and all, but it's still slow as sin. Keep them in the dark about the fine points, and let them see the big picture as it pertains only to them. So yeah, go big, hit hard, hit fast, and out. Otherwise, you'll lose your Players somewhere along the line, and once that happens there's no getting them excited again.