The most effective weapons you can take in-theme are the various daemon engines.
Maulerfiends are simply fantastic, but work best in pairs. Very scary. Take the plasma cutters to stand reasonable odds to slice up Gargantuan creatures, assuming you can survive their initial attack. Nice team is one Maulerfiend with Tendrils to knock down the big-bad's attacks and one with plasma cutters to slice it up.
Forgefiends are stellar ranged support. Always take the Hades Cannons, and take them stock (no upgrades). A trifle pricey, but the firepower they lay down is impressive.
Heldrakes are phenomenal anti-MEQ weapons with the Baleflamer, and are one of the toughest flyers to take down, period.
Defilers are jack-of-all-trades units, and are bit pricey because of it. I've never really regretted taking mine--they've always performed well for me--but there are more effective choices out there.