I would vote all three but im going to give my singular to lotr just because its getting a bad press.
Warhammer is the game i started on and you cant beat the combination of classic fantasy and historical elements. Theres something heart warmingly clunky about the system and the entire imagery (developed to its full in Mordheim) is second to none. It also has the advantage of not taking itself too seriously, 40k is similar but never had that same overtly jokey nature as Warhammer.
40k has the strength of an apsolutely textbook background. Its managed to pull all the cool elements of fantasy 40\'000 years into the future and still have them work without seeming out of place. The universe is vast and varied yet the themes are consistant throughout. In bringing up the darkness of medieval philosophy and beleifs as the basis of its cheif antagonist it plays out like some sci-fi space saga and its shifting fluff immitates the change of centuries or millenia of superstision making the entire thing quite compelling to emerse yourself in.
Finally Lotr, Imho slagged off a bit too excessively. Lotr has the book of the same name as its background and as a system pretty accurately represents it. I love its free flowing nature, it evokes that change of pace i fealt when i first read it after 3 years of Warhammer and 40k. Its a different kind of game and one i find works remarkably well. People tend to pick upon quite quibbling or nondescript critisisms to \"proove\" lotr is a bad game but once you look at it in its complete form and actually realise what it\'s all about it becomes compelling.
Dr Death