I play both 40K and Warmachine (Khador) and I love both games for different reasons. Here are my impressions about 40K vs. Warmachine (in no particular order)...
Just like OB said, Warmachine minis have problems too. I've still had to do gap filling with green stuff and trim and file mold lines and flash. Also, I've had two time now where I've purchased a jack and found that it was missing a piece. That said, the customer service people at Privateer Press fixed those problems fast and free. The minis are all metal which is nice because I've had to weight down some of my plastic 40K minis, but quality wise, I say both games are on equal footing.
On game rules, both are about the same as far as complexity goes, but perhaps Privateer Press does a better job FAQing their game than GW does. Privateer Press also has a really good bulletin board for getting questions answered and the people there are pretty decent posters (not the same quality as here, but for a large board, there aren't too many annoying posters.
Focus of the game for 40K seems more shooting based, whereas Warmachine is more close combat based (e.g. Khador has one of the longest range guns in the game coming in at a whopping 14"). 40K seems more defensive minded (especially if you're a Tau player) where as Warmachine is more offensively minded (almost without exception, the game gives the advantage to he who gets the first swing in, so your tactical decision is usually one of "I can protect my self better during my opponents turn by attacking him now and weakening him rather than waiting to absorb his charge").
Cost: Both games are expensive. The $50 battle box for Warmachine is a great way to get started, but if you want to play games in the 750-1000 points range, be prepared to plunk down a few hundred bucks (e.g. Khador jacks will run you roughly $20-50 a pop). As with 40K, ebay is your friend.
When I play 40K, I feel more like a general commanding troops, whereas with Warmachine, I feel more like a gang leader in a brawl. Perhaps the reason I like both is because the Tau/Khador strenghts/weaknesses contrast each other so well. When I want to play a long-distance, surgical-strike type game, I go for Tau, when I want to charge into the guns and watch the shells bounce off of my massively think armor while I pound enemies into silly putty, I go for Khador. By playing both games, I don't feel like I'm locked into any one type of playing style (shooting vs hand to hand).
Hope this helps.