The Baron comes with a nice stat line, WS6 BS6 S3 T3 W2 I6 A3 Ld9 Sv5+. He is considered jump infantry as he comes with a custom skyboard that adds +2 to his strength in any turn he assaults. His other gear includes a shadow field, wychsuit, hellglaive, splinter pistol, phantasm grenade launcher, bones of the seer (+1 to deployment roll), and twilight shroud confers stealth to himself and his unit. His special rules include fleet, night vision, power from pain, independent character, hit and run, and master of the skies.
Master of the Skies allows the Baron and any unit of Hellions he has joined to re-roll any failed dangerous tests. Also when using their hit and run rule, they can re-roll both the initiative test and the dice to determine how far they move. Master of the Skies is really where the Baron shines. Granting up to a large unit of Hellions the ability to move through area terrain with little risk while gaining stealth. The ability also confers his unit of Hellions to really excel with their stun claws. Grabbing an independent character with the Baron's unit of Hellions is a pretty sure thing, and is sure to be a serious irritation to your opponent.
The Baron simply makes Hellions excel and the reason you are fielding him is because you like hellions. There is nothing like a large unit of Hellions emerging from a warp portal or rushing across the field laying down a hail of fire. They are a lot of fun to field, and with their splinter pods (assault 2) make an excellent choice especially when they fall into the troop category. Make sure you are pushing the baron and his hellions through cover to reach their target as they can be quite vulnerable otherwise. Since he comes with a phantasm grenade launcher, assaulting through cover is not problem. With a 3+ cover save, your sure to tick off your opponents.
While he does give you a +1 on the deployment roll, it is debatable whether or not he makes that big of a difference when it comes to an alpha strike list ( I prefer not). I suppose if you are nothing else but an alpha strike list, the baron is cheap enough to place with Vect, but I have found that combination wanting (Malys is a better choice). The Duke is a nice combination when fielding Baron Santhonyx, for the extra roll on the combat drugs, but I would rather the Baron have a Haemonculi around for those pain tokens.
The Baron is one of the cheapest HQ's you will get. Overall he is not one of my top choices when it comes to HQ's, unless I am taking Hellions. He comes with a shadowfield and a great selection of powers and gear, except he is lacking a power weapon. I prefer to field a more standard Dark Eldar list with the Baron, and then fielding one large 20 man unit of Hellions as shock troops. Get him and his Hellions a pain token and focus your list building around the Baron and Haemonculi. He is worth taking with several styles of lists, but really, he demands a unit a Hellions to ride with. Otherwise you are wasting his talents.