I have some experience with the Nurgle (
Ng), Khorne (Kh), and Tzeentch (Tz) Daemon Lords but only a few games with each.
There is a common synergy trick for all the daemon lords. They all have a 3+ invulnerable save so if you get cursed earth off near them they can have a 2+ invulnerable save. For the Tz lord this means a 2+ rerollable save.
Remember that for the winged daemon lords you cannot assault after switching from swoop. This means swooping always keeps the daemon lord from charging for 2 game turns unless you get grounded. Unless faced with overwhelming firepower or the last couple wounds on my daemon lord I will not swoop and instead use the daemon lord as a jump GMC (very convenient as he gets a 12" ignore terrain movement).
The Khorne Daemon Lord is a beast in close combat and is fairly tough to take down. His big disadvantages are; he usually kills his way out of combat in the same phase as he charges, he has to charge anything near him if he can, and he has a 2+ armour save which means grav weapons wound on a 2+. His big advantages are that anything he charges is going to die and he is very heard to kill for most armies. Some of the things to keep in mind are;
*keep away from centurion stars which are essentially the only unit that can kill him with any ease, grav based lists are the biggest reason to even consider swooping
*keep his shooting attack in mind as it can be useful to remove the last
HP from a vehicle or even kill yourself out of being forced into a bad charge
*try for multi assaults whenever units are left near each other. You can do this by moving so that your charge takes you into b2b with two close units.
*avoid
MSS necron lords when possible. You do not want to kill yourself.
*be aware of your movement and charge ranges. If you don't pay attention you will be forced to charge a fearless 40 model units and find him stuck in a tar pit unit for a few game turns.
The Khorne Daemon Lord is the simple in theory as he is just move forward and charge but is the most dependent on tactical movement to get him into combats with targets you will break after 2 assaults. You will tend to find that he absorbs the first 3-4 turns of most opponent's shooting and only kills 2-3 units during the time. You must capitalize on that time to make the opponent pay using the rest of your army. Therefore a aggressive list with ~2 more melee threats (khorne dogs work well) will give you the most benefit from him.
The Tz Daemon Lord is my favorite and the one I consider to be the most useful. I usually roll every power I can on malefic to and try for cursed earth so he will be a 2+ rerollable invincible behemoth. Make sure you save your trade in for possession if you get it as you do NOT want to remove a 1000 pts model for a 200 pts model

My usual method for using him boils down to a few basic patterns which are used based on the situation and opponent.
*He has some incredible advantages in being able to drop a unit of pnk horrors anywhere on the board with very good precision.
*If your opponent has a vehicle parking lot, expensive vehicles (imperial knights make good targets), or Sv3+ clustered infantry or expensive
MCs then the staff of cataclysm is a great attack and worth not being able to move or use his daemonic gifts.
*Another great way to use him is to swoop into the center of the opponent's army and use every witchfire you have on him then use your gifts. You can then either charge next turn if you didn't swoop or if you swoop then you can shoot the staff of cataclysm the next turn.
*His melee damage is actually very good especially as he is very very hard to hurt. The best part is that you can generate additional units and heal wounds from killing targets if you didn't use the staff of cataclysm. This is one of the best reasons to throw him right into the middle of the enemy and fire off witchfires and gifts everywhere so you can get early charges.
*If you are using greater daemons in your list you need to be very very careful. You do not want him to spend his precious time shooting your own forces.
The
Ng Daemon Lord is probably the least useful due entirely to his slow movement and high price. He needs either a comms relay or infiltrate (from the master of ambush warlord trait) to get him near the opponent to really deal out damage, otherwise he is too slow to make up for his cost. In higher pts games he can be used as a board control element and distraction unit. Keep in mind though that he is of relatively limited use against some lists. Strength 8 melee attacks even with reroll armour pen is not where you want to be when you are the cost of the 2 imperial knights that move twice your speed and can charge you together. His abilities really only get showcased against nids. Most of the time you walk him up the board and the opponent either stays out of range or is mechanized and immune to most of your abilities. His hellstorm template attack is very nice against xenos and
IG infantry based lists but the same as the rest of his abilities is almost useless against mechanized lists.
Sorry for the text wall and the wandering nature of my thoughts.