Baron Sathonyx is possibly one of the best designed and costed HQs available to a Dark Eldar player.
Between a Shadowfield, PGL (Phantasm Grenade Launcher) and the Stealth rule this guy is quite the bargain.
Opening up Hellions as troops gives you another viable selection, with Hellions being capable of putting out quite good damage, despite their fragile nature. Joining a Hellion unit they can benefit from stealth, the PGL and become quite a devastating unit on the tabletop.
That being said Hellions just aren’t for everyone, and luckily the Baron can fill a roll in other units in your army. He also has great synergy with Scourges, who can benefit from his stealth rule and ability to absorb some wounds through his shadowfield, or can be joined to a squad of Reavers although this effects their jetbike movement (turboboosting and combat phase move).
He can even join Beast Master units although obviously the difference in beast and jump infantry movement is not ideal, but his ability to give a squad both grenades can’t be scoffed at.
Finally he is S6 on the charge, which can add some anti tank threat to your Hellion units in an absolute pinch, not that I would recommend trying with his low attack count.
For my Exodite army I used a Succubus and some Hellion/Reaver Jetbike bits to create a Baroness to lead my forces.
And yes I know, painting skin is not one of my strong points. A agoniser ‘whip’ was chopped for a more ‘pistol’ like effect, and the overall effect is reasonable… at arms length, in dimmer light, and if your vision is poor.