Who brings a knife to a gun-fight?

[Varyon]

Can't talk directly to WH40K, but typically speaking in video games with automatic weapons where melee is still of use, there are a few notable advantages to melee.

Accuracy: Firearms require you have the reticule on the target to hit, and many weapons have a decent amount of spread, while just having the target in range and within a wide arc is enough for an auto-hit with a melee attack. GURPS covers this fairly well already. Range penalties can easily give you a low chance to hit, although at high TL's Acc can offset this. Tactical Shooting requires you to use All Out Attack to benefit from Acc, however, so implementing that can help the melee characters. You can also disallow Prediction Shooting (so that Deceptive Attack is a melee-only option). Another option would be to give melee attacks a blanket bonus to hit - +2 could do it.

Power: Melee attacks often do more damage than all but the most powerful of ranged weapons. High armor divisors for melee weapons and low wounding modifiers for ranged ones can accomplish this rather well in GURPS. Alternatively, you can accomplish something similar by having armor give high protection against pi and burn damage and lower protection against all other types.

Stagger: Related to the above, in many First Person Shooters ranged attacks will at best cause a foe to flinch slightly, while a melee strike sends them reeling. Have foes struck in melee suffer a higher shock penalty than those attacked at range to help facilitate this. Knockback can also be useful (due to the chance of the target falling).

Sneak Attack: In games with a sneak attack mechanic, melee strikes are almost invariably more effective than ranged ones. Again, GURPS already has something like this, with Telegraphic Attack. You could also give a blanket damage bonus - say, +1/die - and/or give reduced penalties for Targeted Attacks (and/or only allow the Targeted Attack Technique for melee skills).