Note: To use the following cheat you must edit a game file. Before doing so, remember to make a back-up of the file.

Level select:
Open "campaignstate.lua" in the " \dawn of war\profiles\(your profile)\w40k\singleplayer\ campaign\state1" folder then find the lines "maxmission =" and "scenario =". Change the values of these two lines to the number that corresponds to the level you want to play.

Quit Option:
Say you're in-game, having problems, and need to quit (extreme lag, incoming asteroid, etc.).  Bring up the console with Ctrl + Shift + ~.  Enter quit as a command, and you're free!

Cheat codes:
Press Ctrl + Shift + ~ while playing and enter the following.

Thanks to Revolution readers PiggyKrap, Bananarama and Lee Haxor!