For my upcoming Rogue Trader RPG I'll be running I'm going to be making a fake newspaper, the Koronus Gazetter, which will have some info pertaining to adventure hooks, as well as gossip and suchlike. For instance the 'first issue' will be have the headline about the Emperor's Bounty and her crew being declared officially Lost to the Warp, and that it is now free salvage (obvious first plot). The back page is Rogue Tradin', a gossip mag type run detailing rumours and scandals the characters' contemporaries are getting up to. I'll also put things in like advertisements of merchants and whatnot.
I guess you can find a myriad of sports, and associated leagues and cups or whatnot on every world and in every sector. Bloodsport seems to be prevalent, and you could fill a page with betting tips, biographies and assessments of gladiators and news of fabulous new beasts which are going to see action the next month, so that bettors and fans can inform themselves about their favourite gladiators.

But I guess they wouldn't mention the Warp specifically, rather going for euphemisms like "lost in the void" or something.

And finally, a humorous story, with serious implications if you want it:

a high Ministorum priest, Father Helgond, was found robbed of his possesions and obviously drunk and full of substances in the sewers of some hive's underbelly, near a hotel/tavern/brothel frequented by traders and merchants of all sorts (and he can call himself lucky that the Arbites found him first!). The shocking fact is that Father Helgond was one of the world's most zealous preacher against the evils of Rogue Traders and the filth and corruption they bring with them, frequently naming individuals, or cursing sind and vice and all who engage in it.
Now, Father Helgond claims that he was investigating an evil cult bent on enslaving hapless patrons with their promises of forbidden lusts, which, giventhe establishment he was investiagating, isn't exactly impossible. Understandably, most Rogue Traders and others who have had the pleasure of being object of the good father's rages use this opportunity to mock and ridicule him. But what if it's true?