The big problem I have with Chaos is a problem I have with the way I build armies. I look at things in a "how would it really be" sort of way. I like the story behind an army. I like to have a leader. When my Daemon Prince died to a swarm of rending genestealers, he suffered by not being invited to the next game. After all, he had failed me.
But the other problem is my Nurgle army. Plague Marines are awesome, but they are one sided. Plague Marines have 3 weapon choices (Flamers, Plasma, and Melta), which are all good choices for whatever you intend the unit to do. You also only need 5 marines to get two of those weapons. But that's all you can really do outside of the Champion options. This can get bland quick.
The new Chaos Space Marines are all about mix-and-match units from different gods. But here's the thing I have to remember: Just because Emperor's Children are pretty in pink and don't worship Nurgle doesn't mean you can't still include them in a Nurgle force. Indeed, you can just as easily paint them up in Nurgle colors, come up with some other story or a different themed weapon using the same stats, and suddenly the Emperor's Children become Emperor's Bile, a unit for long ranged combat as well as better horde killing abilities. Khorne Berzerker's don't need to worship the Blood God in your army. They don't even have to be Khrone Berzerker models. Have fun with the Nurgle Plaguebearers from the Daemon army. Suddenly your Nurgle themed army have a hard hitting close combat unit.
The key here is consistancy within your theme. If you want a multi-colored army, by all means, go for it. I know I wanted to paint up Emperor's Children as the Pretty Pink Pwnies, and even give them a Rhino in pink just to shake things up. But I want to see what I can do about creating a Plague Sons (Thousand Sons) unit.
The other thing to remember for your Chaos Space Marine army is that you don't necessarily need to buy the coresponding model. Sure, you might actually like the look of Thousand Sons, but you can just as easily use normal chaos marines.
I've seriously considered rewriting the CSM Codex for my own purposes and put a Nurgle slant on everything. That way, instead of taking Khorne Berzerkers, I'm taking my Daemonic Plaguebearers. Instead of Emperor's Children, I'm taking Plague Bringers. Even give vehicles different names based on different options. After all, a Predator with a Twin-Linked Lascannon isn't as interesting as Nurgle Plaguecannon, and a Vindcator is a Thundering Bilecannon.