"We were made to conquer the galaxy, not to rot here in Hell and die upon our brothers' blades."
- – Ezekyle Abaddon
It's called the Long War because it truly is loooooooooooooonnnnnnnnnngggggg. That is not taking the mickey either. It has been going on for 10,000 years and see no signs of abating. Well, sort of anyway.
It is the ongoing conflict within Warhammer 40k between the forces of the Chaos Traitor Legions who turned to Chaos during the Horus Heresy and the mess of a super empire that is the Imperium. According to the traitors the war is still on going (hence long), but as far as the Imperium is concerned they won when they killed the traitor leader, routed his forces and pushed them back to the Eye of Terror, though even before the opening of the Great Rift they had suffered significant losses to the Traitor Legions' forces.
It is a rather confusing term since no-one is quite clear who is and isn't part of the conflict, what battles are covered under it and various other details about it. For example: Do the Space Marines that have turned to Chaos since the heresy count as being part of the Long War? Do the Lost and the Damned and the Daemons of Chaos count as taking part as well? Does every conflict fought between Chaos and the Imperium automatically count as part of the Long War? It tends to be one of those terms that people toss around casually without referencing it further. This could be GW's stubborn refusal to let too much fluff out of its forbidden depths. Then again, it's very much possible that, in universe, they aren't really sure what they mean when they use the term either. It's...well, the Chaos Marines buzzword for how much they hate the Imperium.
Actually there is likely a very good reason the Long War gone on as long as it has, due to the leadership of a certain armless failure....
Another point is that Chaos Gods are more interested in war itself as a process rather than it's final result. Especially given according to the Cabal the ultimate Chaos victory would be their undoing. I mean eternal war spreads eternal bloodshed and carnage, massive death tolls and epidemics, struggle for power and epic level mind games between the leadership of opposing factions and leads warriors involved into new peaks of sensual experience. So they subtly undermine their servants' plans if they come too close to the ultimate victory. Just as Planned.