I read the 'Homemade Rules' article this morning, and thought I might add a distillation of the thinking I've had on the matter.
I have playing this game since I was a teenager, and as an obsessive 'tinkerer' not only do I convert - well, these days - every model in my army, but I also like to tweak and fiddle with the rules for personal amusement. I've spent a decade or so pondering the dilemmas Michael raised in his earlier post, and thought I would share the principles I've come up with for effectively making your own special characters.
In my local club, we've found that broadly following these guidelines makes for some flavoursome characters, that furthermore your opponent will be happy to play against. They aren't hard and fast rules, but they help to keep your creations in check and give you some additional, enjoyable challenge when writing rules.
Your character is only one cog in a bigger machine
Remember that you are playing with an entire army: your HQ choice cannot, and should not, be the unit that carries the game, but rather a focal point to reflect and complement the rest of your units. Don't try and make him do everything - he doesn't need to be a nightmare in close combat AND an expert sniper AND a monster hunter AND a tank buster: you have Elites and Fast Attack and Heavy Support for that. Give him a specific role and make him suited to the task, and shore up his weaknesses in other areas with a balanced army list.
Similarly, don't try and make him invincible. It's very easy to develop a real fondness for one's characters and not want them to come to any harm on the battlefield. Doing this, however, will not only make them expensive to the cost of the tactical flexibility of your army, but someone will kill them anyway and then you'll feel really sad. They'll also, actually, be no fun to play with - without risk, there's no tension in the game, and without character flaws, there's no personality.
I'll note here that I never play with the special characters listed in the rulebooks: compare the points cost of a standard HQ to a special HQ and you'll see that there's far too much emphasis on the HQ choice, to the detriment of a well-rounded army. I think 150 points is a good upper limit on a decent Warlord, who can be complemented with a decent Elites bodyguard and a diverse set of supporting units.
Don't overburden your character with shiny trinkets
For instance, just because you want him to be a close combat specialist, doesn't mean that he has to have Rage, Rampage, Furious Charge and Armourbane. In my club we've been writing Warlord customisation rules for our narrative campaign in the summer, and limited the number of special upgrades a player can give their Warlord to just two. This has proved more than enough scope to create some interesting, and different, characters. For instance, giving your Chaos Lord's power axe the Daemon Weapon special rule immediately adds character, and if you suppress the desire to give it an extra +2 Strength, AP2 and Soul Blaze, you'll eventually realise that it does fine without that.
Work with you have in your Codex, and what's in the main rulebook. Again, because I'm a Chaos player, I'll take my example from there: why not give a Chaos Lord the Obliterator Weapons rule, and perhaps Fleshmetal as well? Just a couple of additions to create an Obliterator Lord, who would be suitably terrifying to his opponents but still able to be felled by a well-placed lascannon shot.
Alternately, a Force Organisation tweak - say, making Warp Talons a Troops choice - adds quick and easy character, reinforces the whole-army approach and doesn't pile all the power into the character itself.
If you do choose to write completely custom rules, make sure they're quick and easy. If it takes a paragraph to explain your special rule - frankly, if it takes more than twenty or so words - it's probably too complicated. You might have to sacrifice the character doing exactly what you wanted, but the upside is that he becomes faster (and so more enjoyable) to play with.
Give your character weaknesses as well as flaws
Expanding on the point I made above, real heroes triumph over adversity. Otherwise there's no drama, and there's also no fun. Superman would not be interesting without his kryptonite: sure, we know he's going to win out at the end of the day, but when the villian has a shotgun with kryptonite buckshot, we're interested to see how he's going to win.
Weakness in your character can come in different forms, and they're often quite subtle. First and most simply, just leave out some of the extras you were going to put in. He's only Toughness 4, so lascannon's can Instant Death him? Never mind. He's only got a 5+ invulnerable save, so units with power weapons will be a problem? Oh well; deal with it strategically on the battlefield.
Secondly, you can add in compensation for some of your extra rules. If you've made his Melee weapon give +2 Strength, add Unwieldy as well. If he has Preferred Enemy against Orks, maybe Orks gain the Hatred special rule when fighting him.
Create the character, then the rules
Michael said this already and he's spot on. Special characters aren't a free ticket to bending rules: you should only have one if there's a character you really want to represent, that you just can't manage within the confines of your Codex. Writing the character, and working out the rules to fit that, will give them a lot more personality than the soulless, armed and armoured man mountain that you're writing for no other reason to win games.
That said, the other positive motivation for creating special characters is because you've had an idea that would just be cool. For instance, I really like the idea of having my Chaos Lord riding a daemonic horse (I play pure Chaos Undivided, so the other daemonic mounts don't suit me). For that I would change his unit type to cavalry, and probably do the same for a unit of Chosen to accompany him as well - but then I would leave everything else to the options from the Codex.
Reserve your character for Apocalypse games
As a final thought, I'll note that bigger games more easily absorb powerful characters, because there are other, much harder units on the battlefield, and there's also a limit to how much damage the character can do to an army that's a hundred times his points cost. For this, I'll leave you with my Apocalypse-only special character, the Daemon Apostle Svengal Baneword: he's more powerful than I'd care to field in a game with less than 20,000 points, but nevertheless emphasises some of the points I have made above.
I wanted, as a concept, a Dark Apostle who had ascended to Daemonhood, and principally compared the Chaos Lord statline with the Dark Apostle one and reduced the Daemon Prince statline in a similar fashion. I threw in the Dark Apostle rules and an old-school Accursed Crozius (a power maul with a couple of extras), then some fiery death because it suits my Word Bearers army:
Daemon Apostle Svengal Baneword, Screaming Truth Incarnate (230 points)
WS7, BS4, S6, T5, W3, I6, A3, Ld10, Sv 4++
Daemon, Zealot, Demagogue, Veterans of the Long War
Accursed Crozius (+2S, AP4, Melee, Daemon Weapon, Concussive, Soul Blaze), Baleflamer
And this is the model I'm thinking about using as the basis for Baneword:
I am a teacher at a school in the UK, and go by the name of Mr Burn to my students and colleagues. I co-manage the Warhammer Club in our school, of which I'm very proud, both for the fun events we put on and the 50+ honest, modest and talented students who attend it. I also, as I said, convert obsessively, and if you're interested you can find my stuff on Flickr: http://www.flickr.com/photos/77042720@N05/