Playing Style
In part, the inspiration for your chapter comes from the style of game you like to play. If you favor high-speed, close-quarters assault tactics, your chapter's aesthetic, style and mythology should reflect these preferences, drawing inspiration from traditional warrior cultures such as the samurai. If you prefer tightly organized, tactical approaches, look to sources such as the Roman empire's armies.
Theme and Culture
Develop a theme and culture for your chapter. Most of the chapters in the existing "Warhammer 40,000" universe take inspiration from historical cultures and mythology. The Space Wolves are based to an extent on Viking mythology, while the Ultramarines are based on classical civilizations. Update the hallmarks of an actual culture to fit the futuristic setting. Use this theme to develop the story and aesthetic of your chapter.
Mythology
Once you have decided on the type of army you are trying to create, situate your chapter within the "Warhammer 40,000" universe. Within this mythology, all space marine chapters are descendants of 10 original legions, each with its own background. Choose from one of these legions as the origin of your chapter, and come up with the story of the chapter's involvement in the major events from the "Warhammer 40,000" universe. Try to make the actions of the chapter reflect your chosen culture and theme. If you have based your chapter around a variation on samurai culture, for example, you may want a crucial part of the story to center on some character suffering dishonor and having to redeem himself.
Aesthetic
Develop an aesthetic for your chapter around the theme you have chosen. The two most important choices you must make are color scheme and chapter symbol. You must paint all your marines using these themes, do not continue until satisfied with them. Once you have decided on these themes, you must add further accessories: robes, pendants, banners and anything else that contributes to the style.
Special Rules, Units and Characters
You may want to individualize your chapter further by creating special characters to lead them and special units. These characters should fit your theme; you might want a special unit of ultra-fast assault marines with close combat weapons and vehicles led by a particularly brave character, for example. Feel free to develop these characters using appropriate stats. You can even create special rules for them --- an extra movement point in charging, for example --- but check with your opponent to ensure she agrees to the rule and that any special skills or stats are reflected in the points value of your special unit or character.