You are talking about using models with a Mark of Tzeentch or a Thousand Sons force here I assume. If so, yes, they do have their uses for sure.
Sorcerers leading your units is handy, they are fearless, they get daemonic essence (+1 wound) and follow the slow and purposeful rule (which means that they count as stationary even if they move, so they can pump out loads of shots). They also look quite pretty! The main benefit then is survivability and the ability to advance and pump out a withering hail of fire.
They have downsides too of course. The main one that I would say is that they are only able to use bolters (or combi-bolters if they are Terminators) which seriously restricts your tactics. So the main disadvantage is pretty much exactly the same as their main advantage!
Ultimately, they are worth considering if you like them and their background, and against certain opponents they are going to be great, but they are far from the most flexible unit in the game.
Their Marines are much better than their Terminators too I\'d say, particularly if you are using them in a mixed Chaos force rather than full Thousand Sons.
EDIT - Actually I should rephrase that, their Terminators are better than their Marines, but using them right can, in my experience, be quite tricky.