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I usually run two squads of CSMs with fist, double melta, Icon of Glory at the core of my armies, and they do well. Able to take on anything short of dedicated assault units (like thunderwolves, fiends, bloodletters, or assault terminators) in combat, particularly in conjunction with an inexpensive daemon prince, greater daemon or dreadnought. Against dedicated assault units they can contribute by rapid firing bolters, then letting the princes/greater/dread assalt the softened-up unit.
I've run Slaanesh and Khorne as well. Slaanesh is theoretically pretty good, and it's pretty cheap, but I tried it out in several tournaments and didn't have it do much. It really wants to be combined with a power weapon on the champ, so you don't lose out on the initiative, but IME the higher strength of the fist is significantly more useful. Khorne is pretty good, especially on the fist, but you pay for it. In both cases you occasionally regret not having the Morale re-roll, but with Ld10 it's not terribly often.
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