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Okay, I'm brand new to wargaming and warhammer 40k and I've been starting to work on my army list and I've been trying to develop a good build for my chaos lord. Here's what I've been thinking:
Power Armor
Haven't decided on a good mark yet
Power Sword
Twin-linked Bolter
Personal Icon
Wings
Frag Grenades
Krak Grenades

Thats what I've got so far any improvements or advice would be very helpful. Thanks!

Personally I wouldn't give a Lord wings and power armour because he will get shot to pieces if he is on his own and if he is with a unit he won't use his wings. What do you want him to do? If you want close combat using Daemon weapon and Mark of khorne or Nurgle or lightning claws are always handy. Are you going to put him with another unit for example terminators or marines, does he use a transport because terminators can't fit in rhinos. If you get a good idea of what his role is then you can kit him out better.

The first lord I made had termie armour, power weapon and combi-bolter and he wasn't great because I didn't have anyway to get him into action quickly. ow I use Daemon Princes as I find them much better for the points value. Hope this helps.

Yeah the wings were so I could get him into battle faster, but yeah without termie armor he'd be finished fast... maybe if I paired him with some raptors or something.

Wings are fine - they allow him to travel in a transport or with jump packers as desired, and then get out and either charge with the unit or into another unit. If you are doing a Lord, then perhaps a generic daemon weapon could be in order.

I'd stick with a plasma pistol and a daemon weapon, power armor works fine most of the time especially if you pair him with a unit, raptors suck as a combat choice but you might be better off with a squad of berserkers in a land raider added to the lord might be a better option, move 12 inches forward then unload 2 inches away and charge 6.

You "could" use raptors and simply hop and brave the fire that the lord is gonna take trying to get across the field.

I've seen nice builds (and been hard pressed against them) with a Lord attached to a terminator squad with the lord himself in power armour.

Yeah, I'll probably end up taking a daemon weapon, it'll be worth the points for what he'll be doing. I'm not so sure about zerkers since I want him and his undefined melee squad to be getting toe to toe with my opponents ranged infantry really quickly.

I don't agree at all with wings unless he's with something else... which I wouldn't do anyway. Don't take a Personal Icon. Taking a Mark of Chaos defeats the purpose of doing, and those 5 points can be spent on something useful.

I just realized this is probably in the wrong topic area