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Any thoughts on Daemon Armies for 40k? I am considering a new army and it seems like a Tzeentch/Slaanesh combo might be fun. What should I know about it going in. Any thought appreciated.

Well, this combo is a viable option.
I'd take 2x10 Horrors (with icons) and 2x10 Daemonettes to start with.
Add a Keeper of Secrets and 2 Tzeentch Heralds in chariots.
Screamers could go tank hunting, while Flamers are anti-MEQ.
Heavy support is personal preference, either DPs or Soul Grinders.