Space Wolves cause people headaches every day. Here I try to give you that extra edge in knowledge and advice on how to apply the proverbial rolled up newspaper.
So let's keep on rolling with HQs and Sagas.
Space Wolves can field up to 4 HQs and they range from super expensive killing machine to cheap support. Their HQ selection, more than any other, defines the rest of their army when it comes to SW. You can often tell what the rest of the army will do just based on their HQ selections.
Wolf Lord: Captain statline minus the Iron Halo. The Wolf Lord can pretty much take any weapon combination, any mount or armor and every Saga except Hunter and Iron Wolf. He is a killing machine, every time. Closer to a 3.5 ed Chaos Lord than a current SM Captain just because of the sheer number of options he has available. His real strengths and weaknesses will vary depending on his outfit, but generally he will be vulnerable to insta-kill (unless he has Saga of the Bear or a TWM, which makes him T5 base) and focused only on combat.
Wolf Guard Battle Leader: A smaller Wolf Lord with 1 less WS, W, A and Ld. He's the bargain bin killer, who has all the same options minus the Belt of Russ and Sagas of the Bear and Majesty, though he can take Saga of the Hunter. While not as tough or killy as a Wolf Lord, the WGBL can still pack plenty of punch for a lower cost. Only 2 wounds and no EW does make him quite vulnerable though.
Wolf Priest: Chaplain equivalent. He gives up Litanies of Hate for Preferred Enemy for him and his unit against a particular unit type (Infantry, MC, etc) chosen at the start of the game, but is otherwise the same (Fang of Morkai = Fearless, Wolf Amulet = Rosarius). He can't swap out his power weapon, but he has all the gun and mount/armor options except TWM. He may take any Saga except Bear, Majesty and Iron Wolf. Like a Chaplain, he's a good support HQ and cheap, but not particularly awesome on his own. T4 2W with only a 4++ and getting stuck with a power weapon really hampers his effectiveness. Be more concerned with his unit getting re-rolls, then try and hit them with a different unit type so they lose the benefit.
Rune Priest: My favorite generic HQ. He's the Librarian equivalent with a different set of powers and hood. The Runic Weapon is a Force Weapon that nullifies any psychic power cast within 24" on a 4+ as opposed to the Hood dice off and always wounds Daemons on a 2+. Runic Weapon is generally superior to the Hood thanks to the straight 4+ roll, while Hoods only work if you have higher Ld and roll higher. He can also pick up a Chooser of the Slain, which is a little familiar thing that gets put down before their opponent deploys and disallows any infiltrators from setting up within 18". During the game, any shooting attacks from the RP that the Chooser can also see gives the RP BS5. He's a handy little booster for an already awesome support unit. The RP can't replace his runic weapon, but he can take any other option barring a TWM or special ccw. For Sagas all he gets are Beastslayer and Warrior Born, so he usually won't be kitted to fighting in HtH due to a lack of invul better than 5++. High priority target, nigh essential in any SW list. He is incredibly fragile for a marine HQ, so most reasonably CC oriented units can slap him silly.
Living Lightning: D6 shot AP5 autocannon with unlimited range. Win against mech.
Storm Caller: 5+ cover for everything within 6" (including vehicles). Fuzzy KFF in essence.
Tempest's Wrath: Any jump infantry, skimmers, jetbikes, or Deep Strikers that move within 24" of the RP next turn must test for dangerous terrain. Awesome defensive power.
Murderous Hurricane: 3D6 S3 AP- hits at 24". The target moves as if in difficult and dangerous terrain next turn, even if nobody gets wounded or killed.
Jaws of the World Wolf: Draw a 24" line from the RP. Any Infantry, MCs, Beasts, Cavalry and Bikes touched by it must take an I test (+1 to the test for MCs) or die. No saves, no EW, just gone. It can be used to snipe characters and special weapons.
Thunderclap: Drop a pie plate so that it touches the RP, everything under it takes a S3 AP5 hit.
Wolf Spirits: A shooting attack with 2 profiles and it uses both. 12" S5 AP- Assault 3 and S4 AP2 Assault 2. Any casualties, even just 1, forces a Morale Test.
Logan Grimnar: What doesn't he do? Wolf Lord stats with +1A, Eternal Warrior, Saga of Majesty, WTT, WTN, 2+/4++, his axe can be used as a Frost Blade or Powerfist (you can even split between them, so 3 FB and 2 PF for example). He makes Wolf Guard Troops, making the Loganwing possible (it's awesome). Once per game, he can give every friend within 18" +1 attack for 1 assault phase. Also, every turn he can give the unit he is with a USR: Tank Hunters, Preferred Enemy, Fearless, or Relentless. This guy is the Swiss Army Knife of SW characters. Seeing him doesn't necessarily mean you'll be up against Loganwing since he is so flexible and all around awesome.
Bjorn the Fell-Handed: Dreadnought HQ, w00t! 13/12/10, BS6, I3, 4A, 5+ invulnerable save, Saga of Majesty, WTT, Venerable, DCCW w/ HF and AC, PC or TLLC. Bjorn lets you re-roll the dice to deploy/go first, so expect to go second if you see him across from you. When Bjorn goes boom, he becomes another objectives to hold or he gives up D3 KPs if no SW model is touching him at the end of the game. Killing Bjorn and keeping the SW away from him can be a game-winner.
Njal Stormcaller: Super Rune Priest with +1 A. He has every power, can cast 2 per turn, his Runic Weapon cancels out powers on a 3+, 2+/4++ saves, WTN, Saga of Majesty, and his Chooser gives him an extra D3 S3 I5 attacks in HtH. Njal's nasty just like this, but he has another ability to call in some serious stormage. Every turn roll a D3 and add it to the game turn
3: All enemies within 24" are at -1 BS for the rest of the game turn
4: All enemies within 24" move as if in difficult terrain for the rest of the game turn
5: At the end of Njal's assault phase, all unengaged enemies within 18" take a morale test
6: 1 unengaged enemy model within 18" and in LoS takes D3 S9 hits, vehicles hit on side armor
7+: All unengaged enemies within 12" and in LoS take D6 S8 AP5 hits
Looks nasty, but Njal needs to go first otherwise the first 2 powers end up totally useless since they last until the end of the game turn. For all the hype though, he only has 2 wounds.
Ulrik the Slayer: Super Wolf Priest with +1 WS, I, and A. He sports a WTN and plasma pistol too. He and his unit re-roll hits and wounds against enemies with T5+. 1 model in the SW army gets +1 WS (max 6) from Ulrik's training. Also, any baddies trying to hit Ulrik must pass a Ld test or they don't get to attack. No EW and only S4 makes him a very poor monster hunter, so the SW end up paying a lot for a worse Wolf Priest and +1 WS on some model.
Ragnar Blackmane: Wolf Lord stats with Saga of the Warrior Born, WTN, WTT, Frost Blade, 3+/4++ and up to 2 wolves to hang with. He gives his unit Furious Charge and +D3 attacks for charging instead of +1. Once per game, he gives all units within 12" Furious Charge. He is ridiculously killy, but costs like a Land Raider has no EW and poor protection, so one good PF ruins his day.
Canis Wolfborn: WGBL stats with BS2, 3W, 5A and Ld8. He rides his super TWM and sports dual Wolf Claws plus Saga of the Wolfkin, WTN, and WTT. He makes Fenrisian Wolves Troops (still never scoring) and let's them use his Ld within 12". In assault, he can swap his A stat with the number of enemies in BtB (he's on a MC base) and adds any bonuses for charging/CA and 2 ccw on top of it. Horde killer if ever there was one, just like his buffed Fenrisian Wolves, but he has no invulnerable save. That's right, almost 200 points of killy with no protection beyond 3W and T5. He hates power weapons or even missile launchers. With Canis they get Fenrisian Wolves as Troops (still never scoring), so that's every FOC slot but Heavy Support full of non-scoring cav. A Canis army will be in your face turn 2, so remember to mech up and bring bubblewrap. Fenrisian Wolves aren't awesome on their own, but they can have Canis or a WGBL/WL inside and are incredibly cheap.
This is a huge change from SM. Most SW HQs and even some Elites can pick up Sagas to further differentiate them. Sagas can range from individual bonuses to army-wide buffs. Thankfully, you can only field 1 of each saga (SCs don't count towards the saga limit), so things don't get too crazy.
Saga of the Warrior Born: Every kill in the assault phase becomes an extra attack in the next one. Can you say puree? Extremely nasty on Thunderwolf mounted characters who benefit from extra attacks and strength already. Shoot this fucker.
Saga of the Bear: Eternal Warrior, 'nuff said.
Saga of the Beastslayer: Re-roll hits in HtH against MCs, walkers, and models with T5 or more. Very handy for big game hunters or Rune Priests who want to make the most of that Force Weapon, but useless against basic units. Pro tip: don't send Carnifexes after this guy :P
Saga of Majesty: Re-roll Morale Tests within 6". Since SW have lower Ld that vanilla marines (thanks to no Sergeants unless they spring for Wolf Guard), this helps them stick around longer. If he has Majesty, he won't have Warrior Born or Bear, so he's much squishier in combat (unless it's a SC).
Saga of the Wolfkin: Fenrisian Wolves become Ld7 and I5. Turns them into super buff Hormagaunts basically, and it's totally awesome.
Saga of the Hunter: Confers the Outflank ability and Stealth USR, but it only comes on a model on foot wearing power armor. Outflanking is cool, but not on a walking dude. Not much to worry about here.
Saga of the Iron Wolf: +1 to repair rolls and an extra D3" of movement for any vehicle the Iron Priest is riding in (which doesn't count for firing weapons or embarked troops). Considering that Iron Priests should either be on Thunderwolves or the shelf, this isn't very useful.
Jesus, that was long. SW have tons of HQs and that really influences the rest of the army moreso than any other FOC slot.