Dreadnoughts, in Games Workshop's Warhammer 40,000 setting, are cybernetic battle suits, into which a skilled warrior is permanently ensconced. Typically, they have brutal close-combat weapons as well as heavy long-ranged weaponry, combined with heavy armor and the ability to move and fire said heavy weapons.
Imperial Space Marines (the force that coined the term "Dreadnought") uses them as ambulatory tombs, taking advantage of both their abilities as firebases and experienced leaders. While the Codex Astartes role of the dreadnought is to spearhead assaults and provide fire support for the other marines, both roles dreadnoughts excel at, some chapters (notably the Space Wolves) also draw on the expertise of such venerable warriors.
The Space Wolves and Iron Hands are noted for the quality of their "venerable" dreadnoughts, as the Space Wolves maintain theirs almost religiously, while the Iron Hands have some of the greatest techcraft outside of the Adeptus Mechanicus.
A couple examples of famous dreadnoughts are the venerable Bjorn the Fellhanded of the Space Wolves and the bloodthirsty Moriar the Chosen of the Blood Angels.
The Chaos Space Marines, for their part, use dreadnoughts in much the same way as their loyalist counterparts, although they are considerably less likely to consult them for advice. Instead of entombing dying war heroes, those driven mad by possession are most often entombed next most common is simply inducing a Chaos daemon to possess the shell. Chaos dreadnoughts are not terribly stable, and are prone to simply annihilating whoever might be lingering around, friend or foe. Generally, given their poor disposition and general instability, they are chained outside of battle.
Rumor has it that the Blood Angels similarly entomb those possessed by the Red Thirst.
Orks, for their part, think that the Dreadnoughts are...well...really neat. Orks, being not at all averse to grafting loud, unreliable bits of machinery to other Orks, didn't really need a lot of inspiration to start grafting loud, unreliable Orks into bits of machinery. A four-armed Ork dreadnought (or a brace of smaller, two-armed "Killa Kans") will often be a Mekboy's pride and joy, after grafting some hapless victimvolunteer into the pilot's...um...hole.
While the other races of the 40K galaxy have vehicles that fulfill the role of the dreadnought (the Imperial Guard has light chicken-walkers called Sentinels, the Tyranids have crablike juggernauts known as Carnifexes, the Tau have heavy battlesuits known as Crisis Suits, the Dark Eldar have murderous automatons known as Taloses, and the Necrons have heavily armed repair robots known as Tomb Spyders), only one other race has a vehicle analogous to the dreadnoughts; so much so, that they are often known as dreadnoughts.
Eldar Wraithlords are tall and spindly, especially compared to other dreadnoughts, and are constructed almost entirely of wraithbone (What silicon and copper are to computer equipment, wraithbone is to Eldar spirit-powered equipment) and piloted by dead Eldar, possessing Spirit Stones. Faster and more agile than their counterparts, they are generally less heavily armed.
Originally, dreadnoughts (for Eldar, Orks, Space Marines, and Chaos) were in the first Warhammer 40,000 Compendium book, one of the first books to turn Rogue Trader into a real competitive wargame. An outgrowth of the robot rules, they were basically robots that didn't use the cumbersome programming rules. (Said rules were entertaining, but utterly unplayable.) These rules were extremely versatile, allowing for customization of both equipment and stats, but ultimately too easy to break.
Stats for a dreadnought from this Compendium ranged all over, as generation was semi-random.
The Dreadnoughts made another appearance in the second edition of Warhammer 40,000, using the new vehicle rules. Now, they weren't nearly the close-combat juggernauts they had been in the first edition, but their new ability to move and fire heavy weapons, combined with their much-improved armor, made them excellent units to build a firebase around. (Curiously enough, Chaos dreadnoughts, with their ostensibly inferior technology, got much cooler guns and close combat weapons than their Imperial counterparts.)
A second edition dreadnought used a datafax with damage tables and armor charts, but the core stats were...
M8 WS5 BS5 S6 I5 LD10
...with armor ratings from 18-20 on the front, and 12-14 on the back.
Now, in the third edition of Warhammer 40K, the new close combat rules give the relatively imprecise, but ridiculously powerful dreadnoughts a close combat edge, on top of their shooting prowess. Unfortunately, as Eldar dreadnoughts (renamed to Wraithlords) use the rules for living creatures, a quirk of the rules for the toughness of living creatures forces the Toughness stat to straddle a nasty breakpoint that can render them immune to small arms fire. This has prompted constant (often vitriolic) arguments about what stats the Wraithlord should have.
A Space Marine dreadnought has one of several heavy weapons, a storm bolter (upgradable to a heavy flamer), and a Dreadnought Close Combat weapon (basically a power fist without the disadvantage of striking last; this can be replaced with a missile launcher). It can fire two weapons, either of which can be heavy, in the turn it moves, or all of them if it doesn't.
WS4 BS4 ST6 I4 Armor 12/12/10