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So, I've decided to start playing Wh40k again with the advent of the Eldar codex(I stopped following the state of the game around the advent of the Chaos codex), and I have a query:
From a Mechdar perspective, what are the new threats? From internet trawls, I found the Heldrake, but I can't find any non-general things, such as more shooting with the advent of Tau.

Hellturkeys do indeed suck, though between Crimson Hunters and Wave Serpents, Eldar can manage against them quite nicely. Just pay attention to where you are each turn relative to the position of the hellturkey, and you'll be fine.

As far as Tau go, I can offer the following advice: ignore the Gundam. It's a Distraction Carnifex. It's there to be big and scary and draw fire. Only shoot at it if you are absolutely sure you can wipe it from the board. The difference in potential lethality to your army between a fresh Gundam and a Gundam that, at the end of your turn, still has a wound on it, is exactly nothing. Also, if they only have a few sources of markerlights, kill those first. Otherwise, kill their non-Gundam anti-vehicle weapons ASAP.

 Marsyas wrote:
Hellturkeys do indeed suck

In the best possible way

Well, from the mech perspective, the current armies out there field less anti-tank weapons. It seems that there is some kind of move away from meltas everywhere to plasma guns and flamers of all kinds. Helldrakes are definitely not the greatest threat if you field a army. Vector strikes can be counteracted by movement.