For this post I'm going to jump right in to the meat of the Grey Knights' army: the Strike Squad.
These guys are one of two Troops choices in the army list- the other being Terminators, which while more heavily armored, also weigh in at twice the points cost. As far as having more boots on the ground that are able to capture objectives, Strike Squads are your bread and butter (unless you're making an entirely Terminator army) and will fill the role that Tactical Squads do in a typical Marine army.
As far as stats go, Strike Squads have the universal Marine stat line- no surprises there. What they do have that is out of the ordinary is a Storm Bolter, Nemesis Force Sword, and Psykout Grenades as standard kit. Every single one of these guys has a ranged weapon twice as good as a Tactical Marine's Bolter- twice the shots at max range, and you can still assault after firing it. This obviates the need for a Bolt Pistol, and then it gets paired with a Nemesis Force Sword- so not only do these guys ignore your fancy armor in close combat, but they can also instantly kill you if you have more than one wound.
Needless to say, the kit they're given more than covers the 4-5 points more these guys cost than similar units in other codices. I'm a longtime Marine player, and playing Grey Knights just feels right because of this unit. To me, this is what a Tactical Squad should be like.
And that doesn't even take into account the upgrades. You can upgrade every model in this squad to have a special melee weapon, and you get your choice from all the weapons available to every Grey Knight- Halberd, Daemon Hammer, and paired Falchions. That's right, you can (for considerable cost) make your basic Troops into fearsome melee fighters. Halberds make you strike before all but the fastest enemies, the Hammer strikes last but makes them strike twice as hard, and Falchions add either 1 or 2 attacks in melee (this is under serious debate currently). Even if it only adds 1 attack, that still doubles the base attacks they get, and puts them on par with mid-grade assault troops.
The ranged upgrades for the squad are also the same as every other Grey Knight specialist unit- Psilencers, Incinerators, and Psycannons, as well as Psybolts to improve their Storm Bolters. I'm not too fond of Psilencers- they're Heavy weapons, so you cannot move and fire them. They get 50% more shots than the Psycannons, but don't have the Strength or Armor Penetration that the Psycannons do. Psycannons also have Rending to help them cut through armor and vehicles alike, and can be fired at half the number of shots on the move. Psybolts are almost a must on any full size squad, as they dramatically improve the performance of their Storm Bolters by increasing the Strength of the weapon. Incinerators are a real bonus- they're just like a Heavy Flamer, but at +1 Strength, and are Assault instead of Heavy, so they can be fired on the move as well, and will definitely put a hurt on all kinds of infantry.
My first test game with Grey Knights was against Necrons, and the Incinerators were knocking down their heavy infantry (Immortals) like nobody's business- just from getting so many hits and wounds. They got right back up again, of course, but the Incinerator kept them down until the Strike Squad could run up and finish them off in assault.
However, Incinerators are not ideal weapons for Strike Squads. They lack the mobility to use them at peak effectiveness, and Grey Knights need as much anti-tank weaponry as they can get. The current 40k metagame is very heavily mechanized, and Grey Knights do not get plasma or melta weaponry outside of an Inquisitor and his retinue of Henchmen. Psycannons with their Rending rule are the best anti-tank weapon on Grey Knights, aside from Daemon Hammers, so every squad that can take Psycannons really should for that reason alone. Add in their general purpose effectiveness and they're a must have. The one drawback to all the Grey Knight's weaponry is range. No weapon you'll find on a Grey Knight will exceed 24", so you must have mobility to use their weapons effectively.
You could do what everyone else does in 40k, and that is to buy them a transport. Either keep the Strike Squad small and put them in an armed Razorback (with the Psybolts upgrade to improve the strength on its Twin-Linked Heavy Bolter) or flesh out the squad size and stick them in a Rhino, where the two Psycannons can shoot out of the top hatch. Alternatively, Strike Squads can do what no other unit in Power Armor (that I'm aware of) can do, and that's Deep Strike via teleportation. You can start them off the board and later on place them anywhere you want to, with a little bit of scatter- though you can take leaders with wargear that reduce or eliminate this scatter. Sure, other units in Power Armor can Deep Strike via Jump Packs and vehicles, but they don't get the benefit of wargear like a Teleport Homer.
Another ability that sets Strike Squads apart is Warp Quake. You can cause a 12" area around the unit to be anathema to enemy Deep Strikers, causing an automatic mishap and preventing items like Teleport Homers from working in that area. This should get used every turn if your opponent's army includes units held in Reserves that are going to Deep Strike, and spread out the unit a bit to maximize that 12" range around every model in the squad.
And like all Grey Knights, the Strike Squad has the Hammerhand ability, allowing them to strike even harder in melee. It is really effective, but keep in mind you can't use it the same turn you use Warp Quake, so you'll have to strategize which one is more important. Strike Squads should generally avoid melee (there are much better assault units at your disposal) unless you're charging them into a depleted squad to finish them off, and in that case you won't need Hammerhand.
Strike Squads, for all their fancy wargear, are still Astartes. They still die just like other Astartes, so you need to protect them in some way. Use your Rhino transport as a mobile bunker, hide them in cover, or make other units around them more threatening to draw fire away from them, and they'll survive longer to do the job you want them to do. Their prime location is either on your home objective in cover to keep it secured (or nearby in their transport), waiting in Reserves to Deep Strike onto the enemy and pour support fire onto them, or quickly transported to midfield. Around the middle of the board, their short ranged weaponry isn't a hindrance and you can pour firepower down field.
Me personally, I don't like Rhinos or Razorbacks- especially since my opponent will have anti-light armor specifically to take out vehicles like them- so my Strike Squads will either be walking around my home objective or deploying via Deep Strike to support the fast-moving elements of my army. With that said, here's my ideal, general-purpose set up for a Strike Squad:
10 Grey Knights
1 Nemesis Daemon Hammer (on the Justicar of the squad for the extra attack with it)
= 250 points.
Not too bad at all, especially considering that a "basic" Tactical Squad out of Codex: Space Marines with an upgrade or two and a Rhino costs about 230. That helps to solve one of the primary weaknesses of the Grey Knights- numbers. Grey Knights will almost always be outnumbered, unless you strive to keep the units you buy inexpensive like the Strike Squad outlined above.