I have had massive success with my thousand sons, which was a let-down as I intended them to be my "challanging army".
Here is what I have found out:
1.The army is built around the aspiring champions, never forget it. A rubric squad without a champion doesn't do much. They are your assault weapons, heavy weapons, and close combat powerhouses.
2.Because of the previous thought, Lords of Change stink. Sure, they have decent stats, but it will kill an aspiring champion to get one. That will leave an almost useless rubric squad standing in the middle of no-where. Too many points wasted.
3. Anti-tank is your biggest weakness, but surprisingly, not anti-heavy armor. A Predator with all lascannons is great for killing tanks, but make sure to take every gift possible to keep it alive as it will be drawing TONS of fire. Deamonic possession, mutated hull, and parasitic possession should be taken all the time.
4. You need as many bodies on the field as possible. Your guys will be outnumbered in almost any battle, so don't do the enemy any favors. Find ways to cut corners here and there. A couple extra marines might make all the difference.
5. You have very few things that can move fast. No matter what they are, do NOT be afraid to sacrifice them if it will help your army in general. I tend to send my deamon prince on a suicide rush to take out leman russes or basilisks as they will be eating me alive the entire game.
6. Kill off anything with a strenth of 8 or higher as soon as possible. Once they can't instakill you things get easier.
7. Remember that with the changes to Slow and purposeful in the new Rulebook that Thousand sons now have inititive 4 and can sweeping advance.
8. Never discount the advantage of ALWAYS being able to fire out to 24 inches with a bolter or ALWAYS being able to attack after rapid firing. Rapid Firing, then assaulting is statistically better than one shot from a pistol and then assaulting with 2 CCW's.
Here is my general 2000 list from the top of my head. ( some things might be missing as I haven't played in a while)
Deamon prince: Mark of Tzeench, Stature, 5+ invulnerable save, deamonic strenth, deamonic flight, spiky bits, master crafted close combat weapon, a second close combat weapon, winds of chaos, and a free icon. (once he gets somewhere he WILL make a big dent. Also he distracts from the other units that are creeping up.)
9 rubric terminators. Aspiring champion with mark of Tzeench, Bolt of change, deamonic strenth, spiky bits, master crafted powersword, a close combat weapon, and a free icon. ( this is the Hardest unit to kill. The most I have ever lost out of this unit is three terminators. even dedicated assualt units have a hard time with it. keep them in reserve and deepstrike them later when you know when and where you will be having problems).
9 rubric marines in a rhino with smoke launchers. Aspiring champion with mark of Tzeench, wind of chaos, bolt pistol, mastercrafted-spiky bitted powerfist, a thrall, and a free icon. (these squads will move just as fast as "normal" marines in the first turn or two. Rhinos are fragile, so set them up carefully to avoid fire. i use them up the sides of the table to take out flanking units the enemy plans on using late in the game. Two flamer templates that ignore armor will do a lot of damage to marines in cover. You might need to use the rhinos later in the game, so try to keep them alive, but don't be too depressed if they die.)
9 rubric marines in a rhino with smoke launchers. Aspiring champion with mark of Tzeench, wind of chaos, bolt pistol, mastercrafted-spiky bitted powerfist, a thrall, and a free icon.
9 rubric marines. Aspiring champion with mark of tzeench, powersword, 4 thralls, Bolt of Change, and a free icon. Cheaper squad meant to soften-up squads with AP 2 goodness before the rhino squads hit them. Also doubles as a back-up anti-tank unit.
9 flamers. ( I orgininally only used this unit because i got them second-hand for very cheap. However, I noticed that they are GREAT for thinning out Horde units that will try to swamp your rubrics. Not a super-good unit but about the only thing guaranteed to do MASSIVE damage to large horde units.)
Predator with three lascannons, mutated hull, parasitic possession, deamonic possession. (This is one of the few anti-tank units in the list. Kill anything extra-hard right away. Your enemy will need to pour tons of fire into it to make sure it is dead, thanks to the upgrades. This will allow your units to avoid much of the anti-tank weapons that will insta-kill rubrics.)
Army as a whole: 52 models with a total of 87 wounds and 3 vehicles. Harder to be swamped by horde armies and will give true pocket armies like deathwing a fit.
Hope that helps.