…you’re correct about the Eldar having a kick-ass interstellar empire back in the day. The problem was that it was too kick-ass. Life was too easy, everything served up on a platter with no challenges, which lead to the Eldar getting bored out of their pointy little skulls.
Some of them dealt with this by exiling themselves to primitive border worlds, where life was tougher (the descendents of these guys are the Exodite Eldar of the 41st millennium). The majority however started looking for things to excite them, and ended up getting into all kinds of weird and perverse stuff that would make a modern day S&M club look like a kindergarten picnic.
In the 40k universe, emotion affects the warp. The emotions of the Eldar are far more powerful than those of humans, so billions of Eldar getting their rocks off with weird excesses caused one hell of a disturbance, which culminated in the Fall (with a capital F). This involved the birth of a new Chaos God, Slaanesh, and the conversion of the core of the Eldar Empire into a breach between realspace and the warp which is known in the 41st Millenium as the Eye of Terror. The vast, vast majority of the Eldar were instantly consumed by Slaanesh, with only small numbers surviving via a number of lucky or ingenious methods.
(There’s some very old fluff that talks about some Eldar surviving within the Eye of Terror and worshiping Slaanesh. You can take or leave this as you see fit).
Additionally the Eldar had their own gods, most of whom were eaten by Slaanesh. Exactly what these gods were is open to all kinds of interpretation, but a couple of them survive in some form or other.
OK, so the survivors of the Fall…
The Exodites: As mentioned above they were on outlying planets of the Empire and weren’t corrupted like the rest of the Eldar, so they managed to survive. The Exodites avoid getting eaten by Slaanesh (which would normally happen when they die and their souls enter the Warp) by wearing psychoactive crystals called “Spirit Stones”. Spirit Stones capture their souls as they leave their bodies, and hold them safe until they can be transferred to matrix of wraithbone built into the planet and known as the “World Spirit”. The souls of deceased Eldar then chill out in the World Spirit for all eternity – or at least until someone comes along and destroys it, or a mutant tyranid vampirises it, or they need some more wraithbone constructs to trim the hedges.
The Dark Eldar: Way, way back in history the Eldar (or their creators, the Old Ones, who may or may not have been giant frogs) built a system of extradimensional tunnels that kind of go into the Warp without being part of the Warp. This is the Webway, and it allows quick travel back and forth across the galaxy with minimal chance of being eaten by Daemons. A whole bunch of the corrupted Eldar took shelter in the Webway when Slaanesh turned up, and remain there still in a vast city named Commorragh.
Because the Webway is so close to the Warp, Slaanesh can reach in and suck at their souls, so they need to either replenish their souls via mercilessly torturing other beings to death, or fend Slaanesh off with the souls of other beings, who they mercilessly torture to death.
(The Dark Eldar are not your friends.)
The Craftworld Eldar: Craftworlds are Eldar spacecraft the size of planets. They were built prior to the Fall, either (depending on which fluff you read) as trading craft traveling slower than light between Eldar worlds, or specifically as refuges for Eldar worried about the way their society was going to hell in a handbasket. In either case, some Craftworlds managed to get the hell out of Dodge before the Fall happened, and continue to sail between the stars to this day.
The Craftworld Eldar are (understandably) paranoid about falling prey to the same temptations that destroyed their ancestors. As such they control their emotions by devoting themselves to a “path” – a code of behavior similar to martial art, perfected to the nth degree. The most detailed paths in the background are those of the various Aspect Warriors, but there is a path for every job that needs to be done on the Craftworld, which presumably means there are things like “the Path of the Window Washer” and “the Path of the Waitress”. But hey, it seems to work for them.
The Craftworld Eldar also use Spirit Stones to save themselves from Slaanesh, and transfer their souls into the wraithbone structure of the Craftworld, which is called the Infinity Circuit. There is a rumour that when the last Eldar dies, the Infinity Circuits of all the Craftworlds will spontaneously combine and birth a new Eldar god, who will kick Slaanesh’s ass – but I wouldn’t bet on it. In the meantime they can temporarily pull souls out of the Infinity Circuit and use them to power wraithbone constructs, although they don’t like doing this because it’s kind of like digging up grandpa and making him wash the car.
The Harlequins: The Harlequins are merry pranksters with the mystical powers of interpretive dance and converting your internal organs into mincemeat as soon as look at you. They’re the wandering minstrels of the Webway who turn up in Craftworlds, on Exodite Planets, in Commorragh and even (on occasion) on human worlds to perform their dances, which tell the stories of Eldar history. They are protected from Slaanesh by one of the few remaining Eldar gods, who duels Slaanesh for their souls when they die. Their acrobatic skills and shiny costumes make them terrifying in combat, so if they put on a show for you, sit down, shut up, and clap at the end.
If a Harlequin offers to kiss you, politely decline.