There was a time not long ago where there were some competitors like War machine getting close to GW markets are, but they've stumbled and GW has continued to do well. The number one thing is network effects. GW has their own stores, but even at non-GW stores it's the game you can probably find a community playing, so it's the game you'll probably get introduced to. Additionally while Warhammer 40k is the biggest GW game there is also Age of Sigmar in the fantasy space along with the Horus Heresy, The Old World, and Middle Earth Strategy Battle Game as well as some skirmish games like Necromunda, Warcry, Kill Team, and others many of the models used in the skirmish games can also be used in 40k/AoS making it easier to double dip.