Regardless of which HQ you choose, you should make sure it is good fit for your army and/or build your army around your HQ.
In my case most of my lists include a lot of melta, flamers, and sometimes assault termies with THs, so I usually play Vulcan - especially as I seem to suck at rolling to hit
In smaller point games <=1250 I tend to go with a basic HQ. IMHO the best bang for the low-point buck is the vanilla chaplain. Even then, you want to match him with an appropriate assault oriented unit based on how he modifies the rules for his unit (i.e. fearless, re-roll to hit in assault).
I've only been playing for 1.5 years, but my experience is that high cost HQ's in general don't pay all that well, exception being Vulcan. I never play more than one, preferring to spend my points on things like dreads, vindis, dakka preds, TFC. Exceptions of course are high point games and apocalypse games.