Well, without really knowing your interests, it is a bit difficult to answer, but I will give it my best shot. You mentioned Warhammer...Games like that and World of Warcraft are actually great for people who like to do things alone but are also open to meeting people when they feel like it. IMO WoW is a much better game and offers way more options. You do NOT need to know others to start playing...if you would like to meet others, they are right there to get to know. The cost of a gaming hobby is VERY inexpensive especially compared to most hobbies.
If you are creative at all, or would like to tap into it and SEE if you are...for next to no money, you can buy a canvas or 2 (or some art paper), a little set of paint (acrylics, maybe) and a pack of cheap brushes. When you go to paint...just let it go! Don't try and paint something very specific...just play with the colors and do an abstract painting. You will be surprised at how good it feels. Plus there is LOTS of info out there if you get into it. (There are also tons of FREE art programs online that are so fun to learn and play with).
Also, as someone mentioned, building models can be very fun. You do it solo and get that feeling of accomplishment when you are done.
I would suggest heading to a local bookstore and looking through some magazines to get some inspiration and move you to find your interests. Just about everything but team sports can be done alone. The list is miles long.
Good luck! And be open minded!