Chaos Lord
This is the general of your army and he should be equipped and given the Marks and abilities that will best suit the theme of your complete army.
If you are planning an army of close assault troops that is heavy on Berzerkers and Plague Marines, I would give him either The Mark of Khorne or The Mark of Nurgle or both. I would also equip him with Chaos Terminator Armour, with close assault weapons, such as power fist, or chainfis, or with lightning claw.
If you are using a more rounded force, I would stay away from The Mark of Khorne for my general, but I would still think of giving him The Mark of Nurgle, along with The Mark of Tzeentch or The Mark of Slaanesh or possibly even all three if you have the points. I do not usually make my Chaos Lord a Chaos Sorcerer also, but if you are tryng to conserve points, it can do this for you to make him both general and Sorcerer.
Army Icon Bearer
The Icon Bearer is very important to your army, and should be equipped and Marked with the idea of making him survivable, because his icon is more important than his fighting ability. I always give the Icon Bearer The Mark of Nurgle, and if he is a part of a mostly assault army The Mark of Khorne also. The Mark of Slaanesh is also useful to protect him from psychology tests.
Chaos Space Marine Sorcerers
Chaos Space Marine Sorcerers are divided between those of Tzeentch, Nurgle, and Slaanesh. My personal favourites are the Sorcerers of Nurgle, and the Sorcerers of Tzeentch. Any Chaos Marine army except one made up of only the followers of Khorne should include at least one Chaos Marine Sorcerer. A Chaos Marine Sorcerer that is marked by one of the Chaos Gods must draw at least one card from the deck of their God and then may draw any remaining cards from the Librarian and/or Adeptus decks. A Sorcerer with no Mark can only have powers from the Libraian and/or Adeptus decks.
The powers of Tzeentch are powers that strengthen the Sorcerer by giving him extra Warp cards, and powers of Change, or is like the Pink FIre short-ranged, making for spells that must be used subtlely.
The powers of Nurgle are mostly short-ranged powers of destruction and corruption, except for the Plague Wind, which has a 24" ranged attack. These are spells for an army that likes to get into the thick of things and fight up close and personal.
The powers of Slaanesh have more ranged attacks than the other two, they can be very disruptive of your enemy if used correctly. They are spells that go against the enemy's Leadership and/or Toughness for their effect.
Grater Daemons
Let me tell you up front, I am not a great believer in the use of Greater Daemons, and when I do use one, it will usually be either the Lord of Change or the Great Unclean One, as they are the best value for the points.
The Great Unclean One is the most survivable of the Daemons, due to his high Toughness and special rules. He has also has the use of Chaos powers, and the Stream of Corruption as an ability that is usable during the shooting phase, and he can use it even if he is hand-to-hand combat.
The Lord of Change has the use of Chaos powers and he is a flying creature.
The Bllodthirster has his Chaos Armour to protect him, The Axe of Khorne, and The Bloodthirster's Whip to fight with. He has a WS 10, and 10 Attacks, making him the deadliest of hand-to-hand opponents. He can also fly to battle.
The Keeper of Secrets has the use of Chaos powers, and The Aura of Slaanesh. Enemy models in hand-to-hand must pass a Ld test on 3d6 to attack him.
Chaos Champions
These are your Heros and Exalted Heros, they should be equipped and Marked to compliment the troops they will be fighting alongside.
A Mighty Champion and/or Exalted Champion of Khorne makes a deadly hand-to-hand character, but you should take care in how you arm him, and in what armour and protection you give him. You should choose Chaos Rewards and/or Wargear carefully for him. Make sure that you get the most out of what you are purchasing for the points spent.
A Mighty Champion and/or Exalted Champion of Nurgle also makes a good hand-to-hand character, with his high Toughness and the special Rewards that you can give him.
Mighty Champion and/or Exalted Champion of Slaanesh: Either of these works good with such weapons as the Doom Siren, and their special rewards make them very dangerous to your opponent's troops.
Aspiring Champions
Aspiring Champions are always part of a squad, and should be equipped and Marked to compliment the squad, i.e. Mark of Khorne for close assault, etc.