I have both and I've played WH a lot more than CNC which I kinda put down after I beat the campaign.
WH has a expansive universe w/ deep stories. 7 races which are all unique and for the most part, decently balanced. There are also lots of cool animations and the gritty style of the game is just fun to watch and play.
Warhammer hands down. It just has a better and more in depth story and background lore. Dawn of War + Winter Assault = PWNAGE, The stand alone expansion of DoW: Dark Crusade is good as well though DoW+ WA have a better over all story line and campaign IMHO but then again you can't beat the extra armies in DC they throw at you like the Tau and Necrons.
You also can get mods for all the DoW titles. Also DOW has a great game engine and animations that are in sync with the action you see on the screen. For example if a elite unit activates a skill that has a blast radius effect then units correctly go flying around the screen and those with low health end up splattered and dead. Oh the blood and carnage is classic 40K.