While the Marshal and Castellan are not as great in CC as their brethren codex counterparts, they still have one thing that the others lost; Rites of Battle. This rule lets your entire army use the Marshal or Castellan's Leadership for Morale, Pinning, and Leadership tests. For this reason, I feel that a Marshal or Castellan is a must have for any army. That extra leadership means you pass those Righteous Zeal test even easier!
Generally, it is better to take a Marshal over a Castellan, since, for only 15 points, you get +1 Ld and +1 Wound. This allows your entire army to basically be Ld 10 for a longer period of time.
So with that, some common builds for your Commander! (the two points costs are for Castellans/Marshals, respectively)
Power Armour/Artificer Armour
Basic Commander: Power Sword, Bolt Pistol, Frag Grenades - 82/97
This commander is used when you don't want to spend many points for him, but he can still dish out the pain. This commander can easily be given Artificer Armor and an Iron Halo for 45 points if you wish to make him more survivable.
CC Commander: Twin Lightning Claws, Frag Grenades, Terminator Honours, Artificer Armour, Iron Halo - 156/171
This Commander really isn't as points effective as his Terminator Armoured counterpart, but is good if you want to fit him in a Land Raider with a larger Crusader squad. He can also do a sweeping advance.
Terminator Armour
Survivable Commander: Power Weapon, Storm Shield, Terminator Armour - 120/135
This commander is cheap, and is mainly meant to survive while still being able to dish out some pain. He can't sweeping advance, but he is still a force to be reckoned with.
CC Commander: Twin Lightning Claws, Terminator Armour, Iron Halo - 145/160
This Commander is cheaper than his Artificer Armoured counterpart, but cannot sweeping advance or take Frag Grenades, which is the real downfall of terminator armour for this build.
Obviously, there are more build options out there, but these are some of the most common and most resilient ones. As you can see, the Terminator Armour Commanders are cheaper, since terminator armour already includes the terminator honours, but you still can't take Frag Grenades, which is one of the reasons alot of commanders are taken with artificer armour instead of terminator armour. I also think that the Artificer/Power Armoured models are much more dynamic looking and better pose-wise, but it really comes down to personal preference. Try both types out to see which you prefer!
*I will go over High Marshal Helbrecht in his own post at a later time.