To understand at least some of the humor, I recommend reading about the Primarchs (from Warhammer 40k) online.
Fade in. The camera pans to the interior of a cozy pub on a backwater Daemon World, where the technological level is comparable to 12th-century Europe. Soap doesn't exist, and everyone still believes that a horse and cart is a fantastic invention. The camera focuses on a table in the corner, where several individuals are sitting. They are so large that the entire room and the furniture around them seem like a dollhouse. They are pushing entire barrels of ale, and their laughter shakes the walls.
Angron: "...and then I told the Inquisitor, 'Crush THIS!' and chopped off his head!"
Fulgrim: "Just like the previous fifty thousand. As far as fictional head-chopping goes, your skills are simply unparalleled."
Angron: "...um... thanks."
Mortarion: "You're a one-brained idiot; that was sarcasm. You've spent the last five decades endlessly bragging about conquests."
Fulgrim: "Inelegant conquests, full of mindless slaughter – there's not a shred of style in it."
Angron: "Well, at least I'm doing something. What have you guys done in the last ten thousand years while Ezzy is embarrassing us all with his Black Crusades?"
Perturabo: "Speaking of which, the last one was a complete disaster."
Magnus: "What did you expect? It was the twelfth sequel!"
Lorgar: "They really started to decline starting with the third one..."
Angron: "Just like your books, what number are you on now?"
Lorgar: "Book 675,893,920,910."
Mortarion: "And the plot is still terrible..."
Lorgar: "These are religious teachings, you annoying, pedantic philistine! As if you can compare it to the endless, depressing poetry you write on your Planet of Bad Smells."
Mortarion: "Nobody understands me..."
Magnus: "Looks like someone has taken Konrad's place as the Angsty Food for Fan Girls."
Fulgrim: "Has anyone heard anything from Alpharius lately?"
Magnus: "He may or may not have sent me a warp-message with news; I really can't say."
Angron: "He's as annoying as our loyalist brothers. Where the hell are most of them?"
Fulgrim: "I can hardly believe that the Imperium of Man could have lost a Primarch..."
Lorgar: "Well, at least they're not doing anything to make us look bad."
Angron: "No, the captain of the first company is doing just fine on his own..."
*reflective silence*
Mortarion: "We're a bunch of losers..."
Fulgrim: "Thank you very much, Mr. Razor at the Wrist. Magnus, do you want to say something to liven things up? After all, your patron deity is a warp-born entity of Hope."
Magnus: "Well, since the Apocalypse came out, maybe we'll get some attention, even though the latest Chaos Codex is almost entirely geared towards newbie show-offs who can't tell their Demonhost from a Chaos Spawn."
*reflective silence*
Angron: "Yeah, right... anyway, Lorgar's paying for the next round."