|Hey, Baby... Wanna see my Staff of Change???|
And that price is usually around 300 points...
Below is how I would build a Daemon Prince for each of the four alignments:
Wings, Armor, Lash of Despair, Level 3 - 310 points
Despair? This is Slaanesh... Oh well. Roll three times on Biomancy. If you get Iron Arm, Lash becomes S7-9 assault 2d6 and will drop flyers from the sky. The Lash Prince is back! Biomancy can greatly improve your army, debuff the opposing army, or make the Prince nigh unstoppable. If flyers are not a concern for you, as they are becoming less of one for me, drop the lash and take the Grimoire of True names for ten points more. I like this build best, but I tend to balk at the price. Maybe only level 2...
Wings, Armor, Staff of Change, Level 3 - 315 points
Same basic idea but instead it is a S8 close combat monster instead of possibly an anti-air machine. You also get LD10 psychic power checks, and reroll all your 1s for armor saves which is nice. More survivable and less risky than the Slaanesh Prince, but a non-factor against airplanes.
Wings, Armor, Level 2 - 270
The Nurgle DP cannot compete with the Tzeentch or Slaanesh DP in terms of exploiting Biomancy. I'd try to build him in a way that exploits his shrouded status. He's SNP, so not that great in assault anyway, so it makes sense to use him as a flying firebase. Thankfully, Nurgle powers are good for shooting. Yay! He's "cheap" and if you can keep him swooping around cover, he should cause trouble with the Nurgle and Telepathy Primaris powers. He can always charge a beefy vehicle in a pinch.
Wings, Armor, Blade of Blood - 240
I dunno, man. With no psychic powers, he's just a close combat model, so you'd might as well kit him out as such. Blade of Blood adds D3 extra attacks, and lack of attacks is the bugaboo of MCs. At least he's cheaper than the others.
Now, the Daemon Prince needs to be analyzed within the context of the way the army works. All of these dudes, fly, and are therefore fast enough to get up the board by turn 2 without needing to deep strike, so if you can hide them, deploy them and use them to soften the enemy up Turn 2 and use psychic powers to buff the army after it drops (This is allowed per the main rulebook FAQ.).
And here's another wrinkle for you. What if you want Chaos Space Marine allies to take a Heldrake like I do, but don't want a useless allied HQ? For the life of me, I can't find a use for the Sorcerer or the Lord unless you deep strike them with terminators, and that's too expensive (Well, maybe a Sorcerer with the Brand of Skallythrax in a Rhino. But that's pretty short-ranged and the Rhino ain't gonna make it.). Why not buy a CSM Daemon Prince as the allied HQ so he can partake in the mayhem? He fits right in and can tote the Black Mace. If you make him a psyker, he gets a spell familiar. If he's a Daemon of Khorne, he can benefit from a Blood Throne. Black Mace plus hatred. Mmmmm... Oh, he already hates Space Marines? Even better. No Daemonic Instability, either. Still, I'd bring a Tzeentch Prince because the reroll on saves is a big deal for the same price.
(Side note: The Warp Beacon Warlord trait states that the warlord must have been on the table from the start of the turn for it to work. This leads me to strongly believe that GW merely hosed up the wording of the icon rules, and that it is going to be fixed in the first errata. But we shall see.)