I like it because the game isn't a Sitcom. Things don't return to normal at the end of each session. Wounds don't always heal, corruption never fades, and the only way you can survive for any length of time is to skirt closer and closer to crossing the line. There is a very real possibility that your Acolyte will die this time, or become the enemy that he/she was sworn to hunt.
Most of the time you're playing a character with ideological hangups in a Dystopia. Not everything is solved with a sword and a gun, but with a clever word or a piece of planted evidence.
It's not a game about winning. It's about holding out as long as you can against the myriad of physical and mental assaults that will NEVER end. It's a game you can't win. The only measure of your success is how long your Acolyte's body and mind can survive at the hands of threats to the Imperium, and at the hands of the Imperium itself.
And most of all I like how the game makes you question your own morality.
Or you can do what my party does and play the grimdark far future as black comedy. The setting is so unbelievably bleak it's hard to take seriously sometimes. Sometimes it's like Paranoia without the extra clones.
Also, I'm pretty sure I've "won" Dark Heresy. Multiple times, even. One of my characters even became High Magos of Necromunda and basically retired. And it's hard to be scared of a daemonhost when you've just bisected it with a mundane sword thanks to three Righteous Furies in a row. The only Acolyte that I've ever had die was my Psyker, and that's because he shot himself after finding his father again and promptly being disowned.
Then again, this all depends on the GM/group playing the game. Some prefer their oppressive, hopeless, Lovecraftian horror, others just want to blast stuff for the Emprah. It's all a matter of preference.
"Oomans are pink an' soft, not tough an' green like da Boyz. Dey'z all da same size too, so dey'z always arguin' about who's in charge, 'cos dere's no way o' tellin' c'ept fer badges an' ooniforms an' fings. When one o' dem wants ta lord it over da uvvers, 'e says 'I'm very speshul so'z you gotta worship me', or 'I know summink wot you lot don't know, so yer better lissen good'. Da funny fing is, 'arf of 'em believe it an' da uvver 'arf don't, so 'e has ta hit 'em all anyway or run fer it. Wot a lot o' mukkin' about if yer asks me. An' while dey'z all arguin' wiv each uvver over who's da boss, da Orks can clobber da lot."