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Fritz from Fritz 40k posted on his blog the other day opining about the fun of the good old days during the early editions of 40k.
I agree the good old days seemed focused on fun and it was fun to play 40k back then. With that said I would say that the game can be just as fun today as it was in the past.
It is all in what you and you opponents expect from the game when you go to the table. I have surrounded myself with gamers who are into 40k for the background of the universe. This has a tendency to create a really fun atmosphere to game in. While everyone likes to win their battles none of of are focused on winning we tend to focus on creating great stories on the tabletop.
We also have a tendency to change up the game with simple house rules or guidelines to help the cinematic events in game.
The first thing we do is run lots of ongoing campaigns. This has a tendency to create cool story lines for our games. We also smack talk before our sessions telling the tales of our latest victories from out previous games.
We also tend to run about half our games as Attacker/Defender scenarios. With the Attacker gaining a 25% points advantage. The Defenders gain their own advantages depending on the scenario being played.
Second we have thrown out the Force Org for army building. The only requirements we have are 1 HQ and two Troops. You may spend up to a quarter of your points on HQ's and freely fill out the rest of your points with Elite, Troops, Fast Attack and Heavy Support choices.
This leads to really dynamic armies, which in itself is awesome, making the cinematic of the game even more epic.
Thirdly all games use objectives as a victory condition, plus each side gets a secondary objective based on Kill Points to break ties. These secondary objectives are the ones I listed in this post.
The bottom line is that 40k is as fun and/or competitive as you and your opponents make it. So free your mind and the rest will follow!