Theocracies: Imperium, Chaos
Semi-Theocracies: Eldar, Tau
Non-Theocracies: Necron, Tyranid, Ork, Dark Eldar
Err...
The orkz are
definitely a theocracy, though, or at least so intensely and uniformly religious they have no need for much of a government and simply live every moment of their lives according to their (
species-wide) beliefs. Easily both the most committed and most consistent about religious adherence and observance of any faction in the setting, even. Their worship of gork and mork dye every aspect of their existence to the core, and there's bloody close to not a single member of the entire species that
isn't devoutly faithful to such a degree even most of the imperial or chaos fanatics are put to shame, for all that their faith is difficult to identify as such to non-adherents.
which makes sense, really, given that the entire setting is the orkish afterlife >_>Pretty sure the necron are more or less theocratic, too... the oldcron definitely were, at least. And... isn't most of the DE's whole shtick doing what they're doing to supplicate a god, or something along those lines? If that's not what amounts to a theocracy I'm not sure what else it could be without getting into annoying semantics. It just happens that their particular religion involves a lot of torture and whatnot.
I think the thing that gets confusing is that religious adherence, and authority and its expression, for some of these folks is... not like it is for some others. They're by and large theocracies, they're just centered around religions that are rather oddly organized and expressed, comparatively.