Usually as I've seen with others too, Chaos Lord players usually either forgo T1 to spend resources on squads instead and kit out their commander in T2 or, if they do get anything they either get (in T1):
1. only a Combi Flamer (excellent parchise, good dmg and a nice AoE ability!)
2. Harness of Rage (good for sustain, melee dmg increase + great synergy with Dark Halo)
3. Dark Halo (lets you stay in engagements a lot longer)
The most common and popular Chaos Lord build is usually:
1. Harness of Rage + Dark Halo from T1 and Lightning Claws from T2
This build makes him tank absurd dmg and no sane player would want to have their units stay near the CL, since the claws do insane dmg, even to vehicles! Its not works always in every situation tho!
2. Armor of the Inferno(T2) for the Let the Galaxy Burn!, this alone in itself is devastating in a skillful hand as it can cause a world of pain to light infantry + nice with its small knockback :3 Amazing vs guardsman, eldar, ork, tyranids (not so much vs. sm, csm, gk XD), since low hp/unit.
3. Blood Maul + Armor of the Inferno + Icon of Khorne (all T2) is also a nice combo, since you will get a stun + knockback and some dmg increase. Also Sweep into a Let the Galaxy Burn! can hurt a lot! You can swap the Icon to the Visage too tho, works well, since you get a CC machine :3
Chaos Lord cannot be suppressed... use that to your advantege!
Though be careful with setup teams! Heavy bolters will do more dmg the closer you get (if you are in the fire arch that is xD). You can nullify this problem with the Harness of Rage + Dark Halo combo, since you will get a nice shield that consumes your mana (technically a 2nd health bar) but you will get it back in the meantime when you chop things up.
Just keep in mind that the CL is not a demigod. Even with this setup, he can be slowed down, rooted or just simply overwhelmed. Use him in conjuction of Raptors (the suppression is just sweet :3), Khorne CSM or Bloodletters, ect. He can do well alone yea, but he will go down fast if you over extend him or he has no support. Also, cultists with khorne worship can speed him up + make him do more dmg which also synergises well.
Depending what your opponent has, get either the Lightning claw or the maul. The Maul is nice vs. infantry heavy factions like IG or Eldar or Orks. Lightning Claw is great for high-priority single targets, like Wierdboy, Painboy, Terminators, heroes, ect. and can hurt tanks too

Try to figure out a retaliation to certain factions and squad setups. The same idea wont be good for different setups, same idea then in SC2

Just in smaller scale XD
Every race needs a different counter ^^
http://dow.wikia.com/wiki/Elite/Chaos_Lord/UpgradesHere you go ^^ All the upgrades the CL can get, the other champs are there too =)
Also I highly advise to check Indrids casts for Chaos Lord play. We got some nice players who play CL skillfully

You might be able to see some tricks and tips that will be useful for you to get a grasp on your own style of play ^^
Oh mai... I wrote a wall of text again -_- sigh ^^;