One aspect of 40K that I have never bought into was one list to rule them all. I am not saying that people who build one list for an army are wrong but that is not for me. I think this has to do with the fact that I view 40K as almost a narrative of ongoing battles. What works against one army doesn't work well against another. I have been accused of list tailoring and such but I say those gamers are just hating on me for having so much stuff!
The way I look at it when a Space Marine strike force is sent out it does not just draw the most "well rounded" equipment on average. They bring the whole damn kitchen sink. The commander looks at the intel and sees what he is up against and everyone draws their weapons accordingly. After the battle they are able to refit as necessary.
This is where playing in a campaign is right up my alley. After each battle is sit back and assess what did well and what did poorly. I also look at my next opponent and modify my list accordingly. Playing Orks? You better believe you are going see heavy bolters and flamers. Got some Death Guard marines coming my way? Break out the plasma cannons and plasma guns. Each situation requires different weapons and tactics.
This flexibility also lets you use units you never thought you would use. And units that "experts" say are terrible might surprise you and your opponent and help you pull out the win. This is where it helps to be a collector!