I've played one game, against orks, and found that daemonettes are seriously unimpressive but that the Syl'Essthe (or whatever the name - the prince/herald character) won the game for me - he can take out whole units by himself and munch characters. Basically, he was the whole reason I won that game, essentially killing about 60 orks and the warboss while my 60 daemonettes did little but be a tarpit to allow the character to work on one unit at a time.
As well, daemon's strategems are mostly in the fight phase, so if you can get stuck in you can limit home much the enemy can fight back, for example.
Still, they seem awfully fragile - for example, you have to be very choosy who you charge as any significant overwatch will melt units. For example, don't charge chariots into any unit that does multiple damage - at only 6 wounds, its very easy to killed by overwatch fire.
Now, my other frequent opponent is Necrons... and I don't expect I'll do as well against them - far too shooty and mobile.