Here's my basic rundown:
HQs
The Greater Daemons are all good to varying degrees. The Bloodthirster is probably the best bang for your buck, followed by the Lord of Change, then the Keeper of Secrets, and then the Great Unclean One. The GUO has the problem of being very slow, but if you give him psychic powers, he can be a reasonably helpful addition to a slow moving army. The flying GDs are best simply because they can get in range for assault easiest. The LoC can kick out a lot of firepower if the psychic phase doesn't screw you over (which it will do regularly, so beware).
The main thing to remember about Greater Daemons is that they will drop pretty fast to concentrated heavy weapons fire *unless* they are (1) airborne or (2) packing a couple Greater Rewards, many of which are very helpful survival buffs (4 out of 6 help you resist damage in some way, though #6 is redundant on the Thirster).
Heralds are useful for buffing squads, but not essential. Because you can take so many of them, Tzeentch Heralds can do ridiculous things to the psychic phase if you stock up on them. This is a neat gimmick, but I'm not personally convinced it's worth it. The best thing about heralds is that they are cheap for their statline. I think the Khornate ones are best, Slaanesh and Tzeentch are about tied, and the Nurgle ones are just so-so.
A quick shout-out here to the Blood Throne of Khorne: in a big army of assault-based infantry, the bubble effects of the chariot are pretty damned awesome and it is surprisingly durable.
Daemon Princes are like cheaper GDs. The Nurgle ones are probably best.
I'll let other people discuss the special characters, as I almost never use them.
Elites
Bloodcrushers are a tidbit more fragile than they were in the last edition, but they are faster and they hit every bit as hard. Take a Bloodhunter with a Greater Reward. If he scores a defensive upgrade, he can tank for the unit a bit, giving them time to get into combat. They should be in assault by turn 2 messing things up.
Fiends are nice and also very solid in assault/fast/etc. I haven't used them much, myself, so I'll let others give more detail.
Flamers are very nasty horde-killers and can even put a *lot* of wounds on MEQs, but I'd stay away from really large units, since the geometry of laying down all those templates can get complex if you deepstrike them. I think 4-6 is plenty.
Beasts look fun, but I've never taken them and don't use them, so I can't say.
Troops
I think the Troops are the best part of the Daemon army--almost all our troops are great for what they do.
Bloodletters and Daemonettes are extremely good assault troops for the cost and can tear through almost anything with sufficient numbers. They are fragile, but that Daemon Save cuts into their casualties a lot. I'd say Daemonettes are a bit better than Bloodletters most of the time, if only for their speed. These are seriously good units in either case, though, and I recommend taking lots of them.
Plaguebearers are great objective holders. Tough, hard to shift, and virtually fearless. They even do *okay* in combat with weakened units, but killing things isn't their job.
Horrors are, unfortunately, just not that good. They rely entirely on the psychic phase to do *anything* but, alas, the psychic phase is a fickle beast. I have often found my horrors completely worthless in that they cannot get a spell off all game. That said, they are a cheap way to contribute warp charge to your pool. The best kind of horrors are the kind that pop in from the Portalglyph--remember, one horror is every bit as offensively effective as ten. There are fun tricks you can try with these guys, but overall they aren't all that great.
Fast Attack
Seekers and Flesh Hounds are absolutely incredible fast assaulters for their points. Love these guys. Seekers are a tidbit better.
Screamers are also really good and can really mess with vehicles and big critters with their warp bite. My opponents fear these things a lot and they catch a lot of firepower. Remember, as Jetbikes, they can Jink!
Plague Drones I've never really used or seen used, so I'm indifferent. They look okay on paper.
Heavy Support
Most of the Tzeentch Chariots are too fragile for what they do and die too easily.
The Slaaneshi Chariots are great fast assault units for their cost.
The Skullcannon is a solid gun to have available, especially against GEQ or in an assault-based list.
Soulgrinders are excellent walkers--very tough. Probably the best Heavy Support choice we have.
That's my .02.
