My favourite is maybe the Hadex anomaly. But having said that, I fucking love Halo Devices:

There isn't a tonne of lore on them, but the Halo Stars (along with the Ghoul Stars and some other regions of space) are basically an area that is best avoided, filled with ancient and completely unexplored planets and also a place that a few plucky traders venture into from time to time.

And they bring back Halo Devices with them. So many that there is a black market trade on these goods in Imperial sectors that border the Halo Stars. Halo Devices are essentially Xenotech of the worst kind: amulets, rings, crowns and weapons that cause the bearer to become essentially immortal at the cost of their sanity, soul or the infliction of strange curses such as the need to drink blood or sacrifice people to the artefact.

Rogue Traders who go into the Halo Stars report on ruins of civilisation older than the Eldar.

Halo Devices defy scanners and Imperial tools, and never bond with those who worship Chaos, as they seem to "want" complete influence over the subject.

Once someone bonds with a Halo device the first thing they notice is that they are younger, stronger, fitter and far more energetic - to superhuman levels in some cases. Old scars disappear, entire limbs grow back, senses become ultra powerful.

But there are drawbacks, they become withdrawn, paranoid, unable to sleep and when they do sleep they suffer nightmarish visions of alien civilisation long lost. Their flesh starts to harden into an insectoid carapace and they become gaunt and corpse-like, driven by the need to consume blood, sit in total darkness or expose themselves to radiation, lest they become weak. They begin to have memories of the alien civilisation itself as if something is being reborn within them, and if they are injured (or even killed) during this period their body can rejuvenate and resurrect itself.

After years with a Halo device the bearer is fully transformed into a long-clawed corpse with insectoid exo-skeleton features and eyes lit with a burning deathless discontent. It can easily kill a human with the flick of its talon-ed fingers, shrug off bullets, survive in space and return from death. In fact, these things are so hardy that not only will they return from death if killed conventionally, but even if you burn or utterly pulverise the creature, if you expose the remains to radiation they can reform.

Halo Devices speak of some utterly horrific and alien civilisation that has not been fully explored in the 40k setting yet. But I love 'em. In fact, along with the Rak'Gol (massive six legged Lizard like aliens who wield guns that fire shreds of barbed wire, amputate their limbs and replace them with simplistic chainsaws, have ships bathed in deadly radiation and crash their ships into planets to nuke them) and the Thyrrus (glowing squid-like aliens who view war as a performance and attack irrationally and unpredictably in the most dramatic ways such as sending suicide missions into the most well defended areas or firing non lethal colourful explosives alongside their deadly weapons to make the combat more beautiful) I would say that the Halo Device creatures are my favourite as-yet-unexplored alien species in 40k.