As others have said, captains on bikes for bike troops if that is your thing. Otherwise, they add nothing to an army other than close combat, and THSS termies do whatever a captain will do much better. My captain setup is Bike, Relic. Cheap and just effective enough. Anything else is mostly a waste, as the captain is not efficient enough to warrant spending any more points on.
Special characters are roughly the same cost, with 'free' army benefits, while if you dont like special characters a libby's hood and powers provide much more army benefit that the captain. So if the captain HQ provides no benefit to your army why take him? At least the bike captain gives you something.
Shooty characters are pretty much a joke as mwnciboo said... the MotF is good for dread armies, but otherwise the points are better spent on a tank.
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