You get more bang for your buck points wise in 40K. 40 odd points gets you a few saurus warriors in WHFB, in 40K that gets you a tyranid warrior, or a terminator, or 6 Ork boyz, not simply a core choice!
It is also obvious but important that most everything has a gun, and has 360 view arc, unlike the mostly sticks and stones wielding armies of old that seem to have blinders on only allowing that 90 arc.
40K has true line of sight, a unit a couple inches in the woods is no longer hidden from fire (and in 40K to hit modifiers are I think non-existent, or freakishly rare), but so get cover saves, but that's a thread on its own.
Movement is standardized like mentioned before, but it also quite varied. It can be double for jump packs, or quadrupled for some really fast units. There are also several modes of deployment, similar to Dwarf miners, or Skaven, called deep strike further enhancing the capacity for mobility. In general, its safe to say that things are faster in 40K than fantasy (or else those units WITHOUT a gun would probably suffer from bring-a-knife-to-a-gunfight Syndrome).
Combat is quite brutal now, there are no rank, outnumber, or common standard bearer bonuses (although standards exist, but are rare). It is simply wounds caused for a leadership modifier, if you fail its an Initiative test to see if you are wiped out, not distance run. Chargers do not go first, highest initiative does, making the ability hit hard and fast sometimes more important that staying power.
There are Psykers, not magic. Psykers are restricted to 1 or 2 powers a turn, and use leadership not power dice to cast them. Dispel attempts are present in the form of counter-measures, such as Tyranid Shadow in the Warp, Space Marine Psychic Hood and others.
WHFB is all about army setup, composition, and deployment akimbo the unit you want to take out. 40K is similar but deployment is different in that the capacity for damage i increased (due to a preponderance of GUNS). In that respect is it how your unit is used that matters, more importantly than where they are deployed.
So in terms of points, 2000 was the benchmark for WHFB when I was kickin' around, using the conversion of 2:1 that I arbitrarily made up yea 1000 makes a decent sized army, 500 you mull around with in the mean time as you figure out what your play-style is. 2000 would be quite a large game indeed, and 3000 is becoming a daylong event (barring certain factors).
If you want to start up 40K, start at 500, adapt to some of the wonky rules differences, scale up to 1000 and you've got games with anyone there at LGS, 1500 you're ready to roll into tournaments. Everything else is esthetics, or Apocalypse. (although again back when, 1700 used to be the norm 2HQ, 6 troops, 3 Fast attack, 3 Elites, 3 heavies is the max on the Force Organization, and at 100 points each it would create quite a nice army. Don't do this now-a-days that would be 17 kill points, etc. etc.).