Now that the unit reviews are up, I'm just gonna post a couple thoughts that may not be totally obvious or covered elsewhere. This one's a lot less structured, more of a free flow of ideas, so if I miss anything feel free to yell at me for it ;)
Deployment is a big one, and oddly enough it doesn't get much mention. How to split up your waves, where to put them, and, most importantly, what to do when you don't get your preferred one, are as crucial to a Daemons as deployment is to any other army out there. There really is no hard and fast answer as every army is different and need to do different things. Here are some general guidelines to keep in mind though:
1) You should get your preferred wave 66% of the time, so it's ok to frontload a bit to take advantage. Your first wave is either about setting up charges next turn (so mobile units like Fiends, Flesh Hounds, etc), restricting enemy mobility (destroying transport with bolt, blocking off movement with slow, tough and killy or just big units), or establishing a safe zone so you can bring in the rest of your army in relative safely.
2) Both waves need to be capable of doing the basic jobs of any army. Your secondary wave doesn't have to be as killy efficient as your first, but having backup killy units in reserve can help keep the pressure on. Likewise if you get your secondary wave, you need to have the ability to threaten your opponent early on, even if it's only slowing them down and hemming them in for the real deal. Same goes for scoring units, having that last unit drop in turn 5 to secure a far flung objective can be a clincher.
3) Overload your opponent's capacity to deal with a particular unit type. If you drop a medley of units, some small Daemons, some medium, some big and a Grinder, your opponent's target priority if going to be easy. However, if you drop 5 MCs, 60 little critters, and the like, they're gonna have a harder time doing enough damage and may even goof up their priorities. Obviously you can't bank on your opponent messing up, but the more chances you give him to while minimizing your own, well that's just smart play.
4) Mobility is always good. Having mobile units reduces the effect of poor scatter rolls and gives you a larget threat range so you can drop in safer.
5) Build in redundancy. The dice gods can be dicks, and Daemons in particular are at their mercy moreso than any other army. You don't want to be stuck up shit creek with just 1 paddle, 2 or 3 or even more if possible are going to be very handy, especially when the dice feel like screwing you. One bad scatter can destroy a unit or make it worthless (good luck with those Bloodletters that mishap to the other side of the table), so bringing a few backups is a very good idea. You may even split them between waves as above to give you that redundancy across the entire army. Remember, redundancy doesn't necessarily mean using the exact same unit, it just means having multiple units that can fulfill the same role. Fiends and Flesh Hounds spring to mind, as would a Tzerald and Tzeentch DP with bolt.
6) Don't be afraid of cover. Yes, it can slow you down and yes you may potentially lose models and, of course, you already have an invulnerable save. Dangerous terrain wounds a model on a 1, so 1/6 of the time. Not bad, especially on multi-wounders. It ignores armor, but allows invulnerable saves, so its effect is even smaller. Most Daemon saves are quite poor, 5++ is the average and 4++/3++ only applies to Tzeentch stuff. 5+ to 4+ is a big difference, to say nothing of going up to 3+ or 2+ (heavier cover and going to ground). For shooty units, objective cappers, or mobile stuff, the risk is well worth staying alive for a few more turns. Mobility plays a big factor here too, as mobile units are far less restricted by terrain. Move Through Cover helps loads. Don't approach terrain as dead ground, calculate cost/benefit on heading in and staying out.
7) Plan ahead. Your units coming down are pretty much gonna stay there for a turn, while your opponent gets a full turn to react before you can do anything. You need to be able to catch his fast movers, silence his guns, and keep some space saved for the rest of your army to come down in. Drop in on objectives or areas with lots of movement lanes, block his movement, bottleneck him, and so on. This is cucial for just about anybody, but it plays a big part in Daemon armies due to the aforementioned free turn to react.
The most important thing about your Deployment is practice. Circumstances change with every army you face, every player you go up against, every die that rolls. You can't predict everything, you can't be stuck with a rigid plan that encompasses all possible scenarios, you just need to do it. Experiment, test things out, and soon enough you'll have it. Unlike list design and unit analysis, this just can't be covered by math and what if scenarios. You just have to do it.