Either of the two games makes for an interesting time. It's a lot to do with the scenery, the more the better for hiding and movement. It is also very easy to GM either game along.
I have tried two ways with GM's, ie where you have regular gang fights and with a group running individual heroes. It does take a bit of planning for the GM, but there are vast stories that can run both ways.
As an example I'm part of a blog called Jeriko Reach, where all the game backgrounds are GM'd with 'events', to find out the fate of that planet. It is just as easy to have a group investigating disapearances in an outlying part of the Empire. For the Mordheim one If I remember correctly the group all started off as basic 'good' races (3 Humans, an elf and my dwarf) with 2 stat advances and 2 skills and a bit of cash. It turned out we were hunting a necromancer down, and he always seemed to slip from our grasp
