Footnote (Headnote?)
I think Allies are a terrible idea. It's a terrible way to handle balance in a game that is commonly considered completely fubared in the balance department. Fortifications can join Allies in the Warp, too. So there won't be any mention of them here, simply Codex: Daemon...uh, Grey Knights.
Focus
The Grey Knights have always felt like a long range army with some melee support thrown in. Great melee support, to offset their lower numbers, but still primarily a shooty army. I don't see that changing in 6th. 6th Edition seems to encourage shooting so far. In fact, it really punishes combat.
Charging is brutal now on the unit charging. Flamers can really ruin their day and snake eyes on the charge roll make it all worse. I know from playing Warmachine that the average roll on two dice is 7. So on average, your charge range will be 7". That doesn't, however, account for every roll of the dice and there will be plenty of time where your charge is just going to fall short. Staying at range is just going to be safer. I know most people used two Psycannons in most squads but I think it's safe to say that your objective camping units are going to want Incinerators. One or two will depend on preference and testing. Feel free to share your thoughts on the matter.
So the Grey Knights will still want to soften you up at range long before closing in.
Warlords
Castellan Crowe is still rubbish. Shame. He might be ok to challenge ICs and tie up a combat unit? I don't know, Crowe was a mistake. If not for Purifiers he'd be
Draigo (Grand Master) is a monster. The fact that he gives his unit Fearless now makes him that much better with Paladins, who are now absolutely gross.
Librarians got the same nerf/buff as everyone else. Amazing selection of psychic powers and Hoods that only have a 6" range and can only be used to stop an offensive spell that targets a friendly unit on a 5+ unless they're of a higher mastery level. You want one for buffing your army but probably can't rely on them to stop your opponent's Psyker anymore.
WTF/
Rune Priests can still use the old method of stopping offensive powers and buffs. This seems inconsistent and kind of sucks. Having those psychic powers going crazy was fun in the games I played, Rune Priests feel like they would ruin the party. We'll see how it actually affects the game.
Remember 3rd Edition Inquisitors? Yea, well, expect a Rune Priest in most competitive lists. Called it here :)
/end WTF
Coteaz is Coteaz.
Those are the major ones.
Elites
Paladins. Yup. They're probably better now overall and cheaper, to boot, seeing as you don't have to equip them all differently anymore. GW will make some money here as people rebuy or tear apart their current Paladins.
Purifiers. Never really liked them, but could find a place for me in 6th. Halberds already make them gross, but Fearless means they're not going anywhere and are almost always striking first with Force Weapons that can't be blocked. This here is an IC/MC hunting unit. Drop them off from a Land Raider or Stormraven and let them go nuts.
Techmarines might be worth parking behind your Venerable Dreads. Rhinos die too quickly now so I'd try and keep your long range guns alive or put one inside a Land Raider or Stormraven, seeing as they now restore Hull Points.
Vindicare Assassin. Holy crap AP1 now adds +2 to your Armor Penetration rolls. This guy/girl just got really nasty. Run them. Don't feel bad, you've got no Missiles or AA or any kind outside of your Stormravens (which are now mandatory?!). You need to kill Vehicles, you need to bring this guy.
Troops
I've always enjoyed running Strike Squads for Warp Quake (board control, a facet of 5th that was quite underappreciated) and cheap bodies. When parked in a Rhino shooting out of the top they were annoying. When the ride died, they got deadlier because more of them could shoot while in cover. That won't really change. But...
Terminators are gross now. The Grey Knight Terminators are Troops. Profit.
Heavy Support
While Psyfleman were the bane of 5th Edition, they're much too easy to kill now. There's no need to get past that 12AV, just glance it a few times and you've got a dead Dread. Venerable Dreads MIGHT be better, but they don't reroll damage rolls, just penetrating rolls. So...maybe they're absolute rubbish now.
rant/
Let me just say, AV is pointless now. While Rhinos were too strong in 5th, most other vehicles were a bit too soft. Vindicators, Predators, Land Raiders, etc were just not worth the points. I get why GW may have wanted to soften Rhinos, but unfortunately there are too many casualties of war. There is no longer a need to Penetrate Armor. What is the point of AV? I never have to get past your armor.
I think GW have gone too far the other way here. It is what it is, my opinion (or yours) means nothing here. The book's printed and the game is what it is, I just think it's a shame that GW can't seem to get the balance on these things right.
/end rant
Purgation Squads will become the new choice for us here, unless you roll with enough Techmarines to keep your Dreads full on Hull Points. Astral Aim is serious business now that night fight will be more common. Bringing a Techmarine and popping them into cover will mean 3++ for them in a ruin. So a 5 man squad has two more wounds than a Dread (WTF, GW?!), and a better save. The only real problem here is the range. Land Raiders as long range platforms maybe? Echoes of 3rd Edition (yay -.-).
Land Raiders will be more common simply by virtue of being harder to glance. Their 1 extra Hull Point is pretty meaningless as anything that can glance 3 times reliably can certainly glance a 4th. The reason they'll be more popular though is simply the challenge in glancing an AV14, compared to an AV11. Again, you don't need to penetrate the armor at all.
Dreadknights will also see more play as they got a huge buff, especially with Personal Teleporters. Flying Monstrous Creatures are nasty.
Fast Attack
Interceptor Squads could be great. Gotta play them properly, I think. Not sure really, with combat being sucky for the unit charging. I'd like to hope that Smash attacks are awesome, but anything less than 10 men charging a unit is not going to end well. Do you want to invest in a 10 man Interceptor Squad? Yea, me neither.
Vehicles
Stormravens. We have no real anti-aircraft guns, but we have these bad girls. They're now much more survivable than in 5th (they were pretty damn survivable in 5th when you rolled them properly) and they're our only real way of handling other flyers. Additionally, they have Lascannons, which will be needed to glance those Land Raiders to death. Flyers are just the real deal now, you'll want to consider these.
Covered the Land Raiders so I'll just mention Chimaera here. They're AV12, which makes them a bit more annoying than Rhinos. Terminators in a Chimaera might be viable if you don't want to spend the points on a Land Raider or two.
OK, that's that. These are just my own thoughts on the matter, I'm sure that you're play style may lead you to different conclusions and I hope that means that 6th is more flexible than previous editions.
Thanks for reading and I hope you enjoy all the experimental days ahead.