Well, seeing as we are discussing nightmare units from the new codex, here are some of mine;
Winged Daemon Prince, Mark of Tzeentch, Warptime, Wind of Chaos
Now, compared to many HQ's (even HT's) this is expensive, but bear with me. He has 3+ armour and 4+ invul, able to DS, is jump infantry (but a MC), has an AP2 flamer which wounds/glances on a 4+ (re-rollable), and he has five S6 attacks on the charge (ignores armour, re-rolls to hit and wound, rolls 2D6 for armour). Now, unlike in his previous incarnation, he is vulnerable to a railgun hit or Demolisher blast, although the 4+ invul means you'll want to hit him at least twice to be sure. Pretty crazy, and its becoming a pretty common build around the other forums.
5 x Terminators, Icon of Tzeentch, then either combi-melta's or reaper autocannon
As stated previously, those 4+ invul saves are really annoying, and confound most normal attempts to wipe them out (ie mass plasma, ordnance, meltaguns, lascannons). Remember, the new codex says "combi-weapon", not any specifics. I have already read of people using blue-tac to attach and detach plasma/melta/flamer bits pre-game. Totally legal, but cheesy. And of course, reapers are expensive but still very fun.
5 x Chosen, meltagun, 2 x plasma guns, 2 x flamers
I was amazed at how cheap this squad was. 140 is about what most (real) Tac squads cost (ie not las/plas), you get Infiltrate and several special weapons. Sure its small, but I personally would find two of these infiltrated on my flanks downright nasty. Meltagun means you don't wanna risk your Dreadnought, plasma guns mean most elite infantry will wanna steer clear, and flamers will deter basic troops. Perfect harassment unit, and you can get two for just 20 points more than the single Terminator squad I outlined previously.
Aspiring Sorceror with Bolt of Change, 8 x Thousand Sons, Rhino
Pricy, but just like the Daemon Prince, it is worth it. After you use the smokes, you can chuck Bolts of Change from the top hatch with the Sorceror. Even if you get blown up en route, you can still leg it, laying down fire until you reach 12". Then its AP3 goodness
and with 3+/4+ invul saves, the enemy will usually have to concede the objective. Also, if you get charged, at least your Sons will hit at I4, and the Sorceror has his force weapon to deter IC's, so its almost like taking on a normal loyalist Tac squad. Mind you, the assaulters will first have to run the gauntlet of Inferno bolts to reach you, which kinda rules out everything except Terminators. You can always drop them down to a 7-strong squad if you don't feel the need to respect Tzeentch, but i would do it for fluff reasons (and two more rapid-firing Inferno bolters don't hurt).
5 x Possessed, Icon of Tzeentch, Rhino
I think Possessed are the most improved unit (excepting 1k Sons). Now at least, the random powers they get are useful, and if you don't get Scouts or Fleet, you'll still be able to assault with your Rhino. I think Rending will be the most common power you'll get, which makes them better than even Khorne Bezerkers (who kinda got nerfed
no more chainaxes). No ranged attacks, but they can't be good at everything
thats why you buy Terminators.
Ok, well thats all my favourite nightmare units from the new codex. I'm really worried about 1k Sons, I don't think Tau have enough firepower to wipe out squads of them. In a straightup shooting match, they can kill everything except Broadsides and the Sorceror has his assault multi-melta for our tanks. Thoughts?
P.S. When leafing through my copy of the codex, I noticed the artwork of the Possessed in their description shows a Fire Warrior getting his head cut off by one of them.