40K conquest is a good game, I've bought the base game and I'm looking forward to the expansions. I also play the android netrunner card game. If you aren't playing in tournaments then they are both cheap to get into.
I have also been into Warhammer 40K and have several armies but I would hesitate recommending it these days as it is very expensive for what it is, they seem to be catering mainly to the collector market these days.
There are a number of alternatives to 40K these days, Distopian wars/legions, Warmachine, Malifaux, Infinity and Dreadzone, Dreadzone is one of my favourites. All are cheaper than 40K although warmachine is getting quite pricey.
X-wing miniatures game is good value for money and you get fantastic painted models of tie fighters and x-wings, and it is a great game as well. There are fantastic models of all the smaller Star Wars ships so you can have the the Millenium Falcon up against Boba Fett's Slave One.
Magic the gathering is described even by its fans as cardboard crack so I have never tried it.
A useful site for this sort of stuff is boardgamegeek, I have all my games listed on there (I have over 200! ) and they have detailed descriptions of any game you care to mention.