I read a great article by a developer not too long ago that delved into the whole "Heroes hate helmets" thing, though I can't seem to find it anymore... Anyway, the main reason why is good ol' fashioned individuality, to make the hero stand out among all the faceless goons.
Dead Space 2 is, so far, the best example of a game getting around this popular trope with the hero's neat collapsible helmets.
Speaking of 40k in particular I recall a bit in one of the fluff pieces describing the typical suit of powered armor and how the first thing that fails on them is usually the air filtration system, forcing the wearer to remove his helmet in order to continue breathing.
In the table top game, most of the metallic officer and commander unit models don't even come with a helmet and when they do it's usually a different design than what the basic units come with, though you can take the helmet from one of the fancier plastic units that come with separate parts and use it on the metallic one. From a gameplay standpoint, it's a good idea for heroes to go without helmets so that players can easily identify where their more important units are among the gaggle of basic units, though you can get around this by painting the hero's helmet a different color scheme.
Then there's the whole Space Wolves "We don't like helmets because we can track smells better without them" deal their scouts swear by.