Battleship Captain
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Had a few games of Kill-team recently, and thought I'd post up some thoughts - and, more importantly, hope to pick the brains of assorted dakka-dakka-ites for other gems of hard-won experience.
For reference: Kill-Team means the rules as defined in the Black Library Kill-Team ebook. There have been several versions of Kill-Team down the years, but these are the current, official ones.
Remember you're on your own - with models not being in a unit, anyone can shoot anyone (unless they're out of line of sight, or whatever. Any model with a heavy weapon is well advised to choose a heavy weapon with a range advantage over enemy small arms and set up well back on the board because he or she has no warm bodies to catch incoming bullets. Marines aren't bad, toughness-wise, and guard heavy weapon teams at least have two wounds, but this really impacts Eldar Guardians, Ork Boyz, Chaos Cultists, Imperial Guard Veterans, and any other special or heavy weapon carrier likely to fold if hit by a bolt round.
Remember you can't split fire - Very little you're likely to encounter in kill-team needs the application of (for example) twelve splinter cannon rounds off a fully-armed Dark Eldar Venom. Yes, you're almost garuanteed to kill one model, but, when faced with a mob, killing one guardsman four times over doesn't really help you when you've used over a third of your kill team to do it. Antipersonnel heavy weapons like heavy bolters and scatter lasers are good for their reach, but lose their normal crowd control properties.
You will, sooner or later, face a tank - You don't need a meltagun or chainfist. "Tank" is overstating matters - specifically, the vehicles you can encounter in Kill-Team are:
Astra Militarum - Chimera, Scout Sentinal, Taurox, Taurox Prime
Adepta Sororitas - Immolator, Rhino
Chaos Space Marines - Rhino
Chaos Daemons - Hellflayer of Slaanesh
Dark Eldar - Raider, Venom
Eldar - Vyper Jetbike
Inquisition - Chimera, Razorback, Rhino
Militrarum Tempestus - Taurox Prime
Necrons - None (the Triarch Stalker is legal, but it's impossible to fit it and a legal unit which can include a leader in 200 points)
Orks - Warbuggy/Wartrakk/Skorcha, Trukk
Space Marines (inc variants) - Razorback, Rhino, Land Speeder, Land Speeder Storm
Tau - Devilfish, Pirahna
Tyranids - None (obviously)
Nothing, most importantly, can't be hurt by a space marine punching it. Anything can be hurt by a thrown krak grenade. The only real risk to a tank is immunity to lasgun/autogun/splinter fire, and immunity to bolters on tougher tanks, meaning you will need to get close. The Devilfish is probably the most dangerous thing you can face, as you'll need to assault it (or get behind it) to hurt it with standard issue weapons. On the plus side, it has no fire points, so if your opponent wants to hide inside he's not achieving anything.
Ultimately, ignoring tanks is a lot more viable than it is in normal 40k - most armies standard issue kit will deal with the kind of armour you can bring. The only time I would say you're ignoring them too much is if you're literally unable to hurt an AV10 target - if your force consists of gaunts, grots, guardsmen (without krak grenades) or cultists, because one quite popular kill team you need to be ready for is two land speeder storms, trukks or venoms with squads in them that have no intention of getting out. At a minimum such a force needs to be able to wing an AV10 vehicle at stand-off range (a heavy weapons team or two with autocannons, krak grenades, something like that).
Grenades are good - A worst-case scenario for some kill-teams is a cultist squad, grot mob or guard platoon. With 30+ models on the board, bringing down enough opponents to cause break tests is difficult, making their low leadership kind of redundant. Heavy bolters don't let you split fire, so they're just massive overkill. Blasts and templates are better than you'd think - you have to bunch up to bring numbers to bear, especially if you want to get into rapid fire range - but flamers suffer from "shoot me syndrome" and, more importantly, lose their ability to affect the wider board. Frag grenades, on the other hand, become awesome because every model can now throw one. A marine tactical squad mass-throwing grenades can devastate close-packed cultists, grots or termagants. Equally, though, beware of horde armies which have grenades of their own! Imperial Guard and Orks have frag grenades as standard and can make a right mess as a result; no-one, even if they're in power armour, wants to be on the receiving end of 20+ frag grenades.
This also makes krak grenades fantastic for anti-armour work. Three or four guys, each throwing krak grenades, is an anti-armour threat not far short of an expensive and vulnerable autocannon, meaning that tanks will be very hesitant to get close to grenade-wielders.
Keep Sarge Safe - Your kill-team leader is no tougher than normal. Which means he's generally no tougher than the rest of the kill-team members. Given his leadership bubble for break tests, even a point of leadership can make the difference between half the team fleeing the board and not, so keep him protected, preferrably out of line of sight.... for mobs, anyway. A cultist champion will still go down like a sack of nurglings from a bolt round. A space marine sergeant can take slightly more risks - and he's good enough in a fight to be worth taking those risks with. Most importantly, with And They Shall Know No Fear giving you a reroll on break tests, losing him isn't crippling. If you have an option to toughen the guy up, take it. Ork Nobz in eavy armour take quite a bit of killing (unless someone brought a missile launcher).
Ulitmately, unlike a multiwound, artificer armoured captain with warm bodies to hide behind, your leader is a pretty easy kill, and is a high priority target because he still has Slay The Warlord (well, Slay The Leader, anyway) pasted on his forehead. Be careful with him.
Any other thoughts or experience people want to share playing kill-team?
I'm mulling Ideas for a Tyranid Kill-Team at the moment. With the models I have available, I'm probably going with four tyranid warriors with deathspitters and scything talons, plus a brood of 15 termagants with fleshborers or 12 hormagaunts. The tyranid warriors are a nice, tough model for the leader and specialists - I imagine I'll take a guerilla specialist with scout or infiltrate to get some forward synapse quickly if I take hormagaunts; they'll quickly outrun the warriors and will definitely need to be under synapse cover once they get into a melee or will risk losing several models to sweeping advances if they lose combat. An indomitable specialist is good - either feel no pain or eternal warrior (one of the few models in kill-team where this is a good call!) depending on whether I'm expecting missile launchers, and a weapon specialist for some general improved dakka.
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can neither confirm nor deny I lost track of what I've got right now. 
