When I originally started collecting these models, it was as part of a 3ed CSM force, using the codex that allowed all the different types of daemons. My old CSM force was rather daemon-heavy anyway, and so when the codexes were split in 4ed, I ended up with a reasonable, legal Chaos Daemons army. I've expended it since, but keep to the all-Slaanesh theme (which took quite few games to figure out).