A minor Xenos race detailed in Xenology, the Umbra are basically black 8-ball creatures with the ability to manipulate darkness & shadow as a weapon, even forming teeth and blades out of the dark spots in your eyes to chew your brain out from the inside.
They are about the only thing that the standard imperial guard flash light is a legitimate threat to since they are vulnerable to light. They can be killed by herding them into a corner with regular torchlight and leaving them with nowhere to escape to.
When Umbra die they psychically scream a painful series of images into the brains of anyone nearby; including a humanoid figure splintering apart, a warp storm, deep space, and the word "LINGER".
They instinctively collect around warp engines and entrances to the webway. It is believed the Umbra we see are three-dimensional cross-sections of multi-dimensional beings and the fact that we only see an 8-ball is because our minds cannot stretch far enough to visualize them properly.
Apparently they are shards of the Hrud god: Qah (he who LINGERS), and was broken into tiny bits and cast into the material realm by Slaanesh when they were born and that they congregate around access points to the warp aching to return home (and presumably coalesce).
Note: may or may not be the haemonculus in the flask from FMA. Or Leliel from Evangelion for that matter, a spheric multidimensional being which project a tridimensional 'shadow'.
They made an unofficial or unconfirmed appearance in a Slaanesh theme curse level of Vermintide 2's Chaos Waste expedition. In that level, no pick ups are found, other than dropped from beings of sticky black sphere things (which is how Umbra would looked like) that spawn from elite or special enemies. Given how it was Slaanesh who created Umbra in the first place, them appearing in a Slaanesh themed level might not be surprising...except the setting took place in Warhammer Fantasy. Think of their position as the reverse Squats; a 40k race suddenly placed in fantasy. Don't expect any concrete connections, however, as it is just GW's habit of cross-sharing its IPs for fun. Also for some reasons they can be beaten to death by Ubersreik 5 (or 4)'s physical weapons, nor does it exhibit its usual weakness to light and shapeshifting. Might have something to do with Chaos Waste's reality fuckery.
They also appear in Warhammer 40,000: Gladius - Relics of War as a free addition from the Eldar DLC update. A new neutral creature that attacks everyone in sight: Umbras pack a high HP pool and are a large threat to early-tier infantry and vehicles because of their high armour rating and high armour piercing melee attack. The easiest way to take them down (other than swarming them with numbers or using anti-tank weapons) is to use units with flame and melta weapons, as umbras fitting to their nature are extra vulnerable to weapons that set things alight. It's also important to note that when they die they leave behind a "lingering" effect which damages both the health and morale of the unit who kills it, so try not to finish them off with your more damaged units.