The biggest thing in painting Space Wolves is deciding *how* you want them to look. I went through a lot of iterations thinking "this doesn't look right to me" before I discovered the reason it didn't look right was because I never actually thought about how they should look.
In the end I decided on this scheme...
Sorry for the poor quality picture, I really need to take some better photos of my space pups.
That was done with white undercoat sprayed on, Mechanicus Standard Grey, paint nuln oil just into the crevices (not over the whole model), highlight with codex grey and it could probably use another highlight of a slightly lighter grey as well. The shoulderpad was done with my homebrew mix of blood red, mechrite red and scorched brown, and the left shoulder pad I did bone coloured (which you can't really see), that was Deneb Stone washed Devlan Mud and then went back over with Deneb Stone. The gold is balthasar gold washed nuln oil then highlighted shining gold, and then some details picked out in black.
I honestly can't remember how I did the fur on that particular guy, but typically a mix of drybrushes and washes of Deneb Stone, Calthan Brown (or whatever the equivalent is now) and Dryad Bark.
It's not a very good picture, but in the end it comes out looking similar to the Space Wolf on the front cover of the current Codex with dark and slightly purple reds, golds and the darker grey that isn't quite as blue as most Space Wolves.