I make a point of knowing the fluff intimately, and build my armies around that rather than what's simply good in the game. Wargames are, generally speaking, about creating as realistic a representation as you can on the table of a battle. In the case of Warhammer 40,000, the intent is to bring the 41st Millenium to life on the table. If you have an army thrown together of things that are good together because of how the rules read, it's not really in the spirit of that. That's really why I hate the new Chaos Space Marine codex... you can have, and are encouraged to have, an army that just wouldn't exist-- for example, a Lord of Slaanesh leading a bunch of Khorne Berserkers around.
I happily leave things out of my armies that might be better off in them if it makes more sense fluff-wise. You won't find Terminators in my Space Marine army unless we're playing a really big game where you'd actually have 1st Company support, or I'm using the Deathwing rules. Similarly, I don't bring Scouts unless we're playing a big game or the scenario calls for a scout unit (as opposed to a Scout unit-- there are scenarios where a forward recon unit makes sense to have around.) I limit myself to twenty Assault Marines and twenty Devastator Marines in a given army, because that's what a Battle Company has to call upon. If I bring a Land Speeder in a 2000 point game, then I either have an eight-strong assault squad and a ten-strong squad, or I simply don't bring one of the assault squads. The same goes with tanks-- if I bring a Predator, which has a crew of two Astartes, then there'll be eighteen Devastators left to work with.
I happily leave things out of my armies that might be better off in them if it makes more sense fluff-wise. You won't find Terminators in my Space Marine army unless we're playing a really big game where you'd actually have 1st Company support, or I'm using the Deathwing rules. Similarly, I don't bring Scouts unless we're playing a big game or the scenario calls for a scout unit (as opposed to a Scout unit-- there are scenarios where a forward recon unit makes sense to have around.) I limit myself to twenty Assault Marines and twenty Devastator Marines in a given army, because that's what a Battle Company has to call upon. If I bring a Land Speeder in a 2000 point game, then I either have an eight-strong assault squad and a ten-strong squad, or I simply don't bring one of the assault squads. The same goes with tanks-- if I bring a Predator, which has a crew of two Astartes, then there'll be eighteen Devastators left to work with.