She comes with fleet, night vision, power from pain, independent character, and three nice ones.
Quicksilver Dodge. She gets a 4+ invulnerable save across the board, and a 3+ invulnerable save in close combat. She is simply that quick.
The Penetrating Blade. So skilled her knives ignore armour saves.
A League Apart. She receives bonus attacks equal to the difference between her weapon skill and the highest weapon skill amongst enemy models she is contact with. Against marines that means 5 additional attacks vs WS4. Lets add it up vs marines. 4 attacks base + 1 for extra close combat weapon +1 charging (she is fleet after all) + 4 bonus attacks. That makes 10 attacks hitting on a 3+.
One of the things I enjoy most about Dark Eldar HQ's is you really do receive leaders that can do wondrous things. They can be walking ginsu's or give great tactical advantages to your army. Simply choose. She is one of those tough choices to make, unless of course you are trying to run an all Wych army, then it seems you just want here there. In our old codex this was necessary to run an all wych army, however now you are given choices on it.
With all of this though, she still has one glaring weakness, no armour killing. She relies upon other units for this problem, so fast moving dreadnaughts (ahem blood angels) could very well ruin her day. The next is that she really does need to get that pain token. Even though she gets so many attacks, wounding on a 5+ could really ruin your day. Your going to kill a bunch of models, but really we want to see her slaughter everything. Don't lament over things like this though, as that wounding on a 5+ could save her butt, as you get two close combat phases, yours and your opponents, to wipe them off the map.
Everyone immediately attaches her to wyches, but your not required to, since she doesn't require a wych army. So get the fact that she is a wych out of your head. She doesn't give any bonus's to your wych units, so think of her as a walking ginsu that can strike at I10 with 10 or 11 attacks at WS9 S4 when she gets furious charge. She becomes ultimately more durable in close combat with feel no pain, however power fists will still kill her outright.
I personally field her with Trueborn, who can be set up with pistols, close combat weapons, and plasma grenades, while still taking 4 blasters for breaking that tank and killing whatever comes out of it. Lelith can also very much be that second ginsu blade you want in your army with Drazhar or another Archon killing machine. Army wise if you are going all wyches, look to combining her with Duke Sliscus for large army wide bonus's.
While I like Lelith in an army list, she is not one of my top choices. She will do her deeds well if you use her as a surgical instrument on the table top, but she comes with a couple glaring vulnerbilities. While I don't think they will matter in most games, I think there are other options if all you want is a fast moving close combat ginsu. Don't let her be limited to wych armies during list design, so break out of that mold when considering her for your army.