Dreadnought
I don’t have much to say about Dreadnoughts. They’re the exact same as Space Marine Dreadnoughts with Furious Charge, so use them the same way.
Death Company Dreadnought
Now these are more interesting. They’ve got an extra attack compared to a standard Dreadnought, as well as Rage. They also ignore Crew Shaken and Crew Stunned results when damaged, meaning that they are very hard for your opponent to stop. Death Company Dreadnoughts come equipped with two power fists (which can be upgraded to blood talons, giving them Shred), as well as a storm bolter and meltagun. Either of these, but not both, can be upgraded to a heavy flamer. Finally, the smoke launchers can be traded for a magna-grapple, giving the Dreadnought Move through Cover and allowing it to re-roll charges against vehicles. Both of the abilities are very useful for an assault unit, so I would generally take the magna-grapple over the smoke launchers. I always forget to use my smoke launchers, anyway.
If you want an assault Dreadnought, the Death Company Dreadnought will do the most damage. I would equip it with a heavy flamer and meltagun, magna-grapple, and a Drop Pod. Blood talons aren’t bad for the points, even though the Dreadnought will be wounding most targets on 2s. They will protect you from a bad round of rolls as well as enable to the Dreadnought to take on monstrous creatures. Drop it close to the enemy, somewhere they can’t meltagun it immediately, and let it do as much damage as possible while the rest of your army closes.
Furioso Dreadnought
The Furioso Dreadnought has an extra point of WS and Front Armor compared to the standard Dreadnought. AV13 is quite difficult to destroy in assault, so if you can get the Furioso into close-combat, it will be a serious wrench in your opponent’s plan. Like the Death Company Dreadnought, the Furioso comes with two power fists with built-in storm bolter and meltagun, one of which can be upgraded to a heavy flamer. Likewise, the power fists can be upgraded to blood talons for all small investment. One of the power fists can be swapped for a frag cannon, which fires two S6 Rending templates.
The Furioso stands out in two ways. First, it is our most heavily armored Dreadnought, so if you’re more concerned about durability than dealing damage, the Furioso is what you’re looking for. Second, it can make a great infantry killer with a frag cannon and heavy flamer. Three templates a turn will most likely kill any light infantry in range, and the frag cannon is quite capable of killing heavy infantry and damaging vehicles.
Whether you want your Furioso for assault or shooting, put it in a Drop Pod to get it close to the enemy quickly. The frag cannon load-out in a Drop Pod has an excellent chance of scoring First Blood, so keep that in mind.