With 21 Points per mini, SH are damn expensive, and with that light armore and a flashligh as a weapon, they normaly don't survive long.
There are two good things about them, though.
1. Imagine there are two Squads of Space Marines. The first one is in CC with a squad of Scorps (with an Exarch of course), the second one is on the left or on the right behind them.
The Scorps win the CC and the Space Marines fall back and are destroyed because that small squad of SH catched them in Crossfire.
The Scorps can now attack the 2nd squad of the Emperor's Finest.
2. Even if expensive, an SH Exarch with powerweapon and the Exarch abilities can really be a pain in the ass for high armoured troops (like Terminators)
The Exarch strikes and has 3 Attacks (example).
For each hit, he'll be able to roll again. If that throw hits home, he can take another one, and so on.
With his good WS its not hard to get some hits.
Most of the time, this will end with 12 power sord attacks. Deadly for a 5 man Termi squad.