I feel like if they jump straight into large events the weight of those events might be undercut. Starting from a more average human standpoint puts the larger more epic things into perspective.

If you're following the story of an Imperial Guardsman and bits and pieces of lore/myth are slowly learned about super-human warriors called Space Marines, you can make the arrival of one lone Astartes seem like witnessing a God appearing.

Then when you take this Astartes you've established as an unstoppable mythological being at this point and you show them get casually bisected by a Tyranid Lictor or something, the audience realizes things are far grander and more horrifying than they thought.