How come my PS 3 40 gb Phat always make a loud fan noise when i started to play game?

It's a no biggie, the fan is simply keeping the PS3 cool to prevent overheat. I have the same model from gamestop it happens to me too. Your ears will adapt, i would however Try to look for an intercooler and also check the air temp thats leaving the playstation. If you feel that the Playstation will or does have a fan problem take it in to the gamestop from where you got it and ask some questions or even exchange it.