AP2 at initiative is significant enough in this edition, and hard enough to come by in our book, that the axe of blind fury is worth a specific call out in the lord's description. When not running the axe (most commonly because khorne is unacceptable for thematic reasons), the most attractive alternatives are the black mace (the extra attacks and aura kill almost offset the poor ap, although this item is obviously better on a prince) or "fisticlaws" - a power fist + lightning claw combination. Since they're both specialist weapons, you get the extra attack regardless of which you choose to use, and you get a choice between AP3 (with shred) at init or AP2 (with double strength) but unwieldy. Fisticlaws is more attractive on terminator-armored ICs, obviously.
Since the lord is a combat monster, you want to consider delivery options. The ideal is the chaos bike, since it's the fastest, and grants some extra bolter shots on the way in, and in any event bikes are among the strongest units in the book point for point, so there's an ideal retinue option. Daemonic steeds offer an interesting alternative, particularly khorne's Juggernaut, which ups your combat stats, and Slaanesh's Steed, which grants outflank to the lord and any unit you join them to. Downside's are that they don't work as well with bikes (no turbo boost or run, can be picked out by focus fire - though at least you'll have a 2+ look out sir). Bikes are still an acceptable retinue, but Spawn might be the better choice for such a lord. OF course, the slaaneshi lord might join any which unit, simply for the purpose of outflanking the unit (consider hordes of 35 cultists, or plasma spamming chosen or havocs, or a bit squad of terminators).
Another delivery option is suiting the lord up in terminator armor and deep striking them with a termie unit. This is nice in that it gets you a 2+ save, something you otherwise don't really have access to. Unfortunately, deep striking isn't terribly reliable, especially with our icons no longer counting as homers, and the dimensional key not working particularly well for this (it might still be ok for the difficult terrain effect, I'm not sure, but your terminators will most likely drop before the key turns on). Still, terminators are a solid, if not spectacular unit that can lay down some decent firepower the turn they drop before escorting your melee masher into the thick of things. Jump packs also provide a somewhat tolerable delivery method. Raptors, despite being basically just worse bikes, aren't terrible in and of themselves, and certainly look awesome. A jump lord with some raptors can be a stylish, if not optimal, HQ option.
Quality delivery methods taper off quickly after that. The chaos land raider is an expensive beast that doesn't know what it wants to do before you even remember that it lacks the loyalists machine spirit. If melta and other heavy tank weapons fall out of favor in 6th, then a land raider might make a viable delivery method for lord + melee escort of choice, but I'm far from convinced at this point.
The Lord really does lack good ranged options, and as such, hoofing it to combat doesn't seem ideal. If you want someone to help out with midfield infantry duties, the sorcerer looks like a much better choice, and even the warpsmith starts looking viable. Rhinos have all the standing around for a turn problems of deep striking, combined with a high likelihood of being popped early and leaving your lord & retinue hoofing it. Further, good rhino-riding hybrid shoty/assault retinues are somewhat limited. Plagues are ok, if you're nurgle marked. Chosen maybe? Seems iffy to me. Basic CSMs have to drop a special weapon to fit an IC in a rhino, so... yeah. I don't recommend it.
Invulnerable saves are a tricky issue on lords. On the one hand, the champions of chaos rule means sooner or later you'll probably get locked in combat with a competent duelist, no matter what you do to avoid it. So theoretically, the best ward save you can get is all but obligatory, regardless of price. However, the sigil really is quite expensive for what it does, especially if you happen to be a terminator lord who already paid for a 5++ save. I frankly don't know what to recommend, here. Some inv. is probably obligatory, but whether you spring for the sigil probably depends on whether you had some points left over in your list, and just how effective you think you'll be at keeping your lord out of challenges.
For marks, Khorne is preferred for the axe of blind fury. AP2 at initiative is just too important. If for some reason khorne is unacceptable, all other marks, or even no mark at all, all seem like reasonable choices. Points are at a premium for chaos, so skipping the mark on your lord is not at all a terrible call. You're likely to get stuck in duels, so slaanesh's initiative boost has obvious utility. However, many duelists run with 2+ armor, and without any AP2 at init options, the slaaneshii duelists initiative may be wasted. Even then, however, many of your units like the mark of slaanesh, and taking it on your lord allows you to benefit from the icon of excess. And noise marines are a passable unit, so making them troops can be worthwhile. Tzeentch is obviously useful for the invulnerable boost, making 3++ saves possible, and 4++ saves on terminators cheaper. Nurgle makes probably the best of the cult units into troops, makes you immune to instant death from S8 and S9 weapons, and makes regular strength attacks considerably less likely to wound. Altogether, Nurgle's probably the next best mark option behind Khorne.
Other options on the lord are mostly incidental. If you don't have a built in means of dealing with vehicle armor, meltabombs can be worthwhile. If you've got some spare points, then gift of mutation can be fun (though the odds of getting something you really want are fairly low).
The Daemon Prince is an absolute brute. As a melee monster, delivery is an issue, so you take wings. You're on your own, so exposure to light arms is an issue, so you take power armor. Your goal is to brutalize units, and 'smash' makes all of your attacks AP2 regardless, so you take the black mace. Remember also that if you opt to do the double strength / half attacks thing, you halve your attacks before rolling the extra d6 for the mace.
Add those things together, and you plummet out of the sky like a comet to utterly demolish anything you crash into. It's totally badass and very fun. Until you get ganked by a rail gun. The extreme vulnerability to S10 shooting combined with the very high price point means this probably won't be a serious tournament option, but I could easily be wrong, here. If facing such shooting, hold your prince in reserve, and try to deal with the S10 ranged threats with fast units (meltabikes) or long ranged weapons (laserpreds, oblits, etc) before the prince hits the table. Try to use LoS blocking terrain to shield your approach regardless. Flying makes it hard to hit you, but a bucketload of flashlights still stands a good chance of knocking you out of the sky.
Psychic powers are an option, but they're something of a gamble. Marks are obligatory, so at least one of your powers needs to come from your god's discipline, which keeps you from just stocking up on biomancy. Tzeentch's lore is kind of baddish, nurgle and slaanesh are ok. Any leftover points should of course go to biomancy. Still, overall I think the points cost of adding psychic powers to a model that's already so expensive and exposed just isn't worth it.
Apart from psychic powers and the nigh obligatory wings/armor/mace, other options on the prince are largely incidental. Marks are obligatory (what the hell? there are several undivided princes in the canon, and they can even arise mid-game from the boon table?), but the only one that significantly affects the prince is nurgle. This grants shroud - a significant protective boost on the way in - but at the cost of Slow & purposeful, which prevents sweeping, and as such leaves you vulnerable to enemies breaking after your charge and leaving you exposed to enemy shooting - particularly marines who can just choose to fall back voluntarily. Significant bonus + significant weakness leaves the nurgle option a toss-up. The other's are incidental. Khorne gives a slight melee bonus, but not one you're likely to notice one way or the other too often. Tzeentch gives a protective boost - but only a very slight one. Slaanesh is... cheaper than the others. Basically, I'd call this an aesthetic choice, unless you want to spring for the psychic powers, in which case nurgle and slaanesh take precedence.
I have some things to say about the other HQs, but I'm tired of typing, so... later.
Last edited by Malisteen; 11-15-12 at 05:42 PM.