As for St. Louis, most of the places that do 40k post on Game St. Louis, which is a popular forum for St. Louis Gamers: http://www.gamestlouis.com/
Last I remember, here's a short list of places to play 40k in St. Louis:
Fantasy Shop St. Charles (Tuesday Nights)
Ogre's Games on Kingshighway
Wargamer's Cave in Granite City
Game Nite on Watson Road (former Miniature Market location)
There's probably another one, but those are the main venues for play and tournaments.