Bloodletters: As impending slaughter said, these daemons are best used against marines. I'd like to generalize that a bit, and say they are best against all 3+ armies. They are most point effective against Necron, because of Necron's low init. Also, Bloodletters strip Necrons of the 'we'll be back rolls.' An 8 man bloodletter squad should take down 8 Necron around, which makes them well worth their points.
Plaguebearers: Best used against monstrous creatures, due to daemonic venom (always wounds on a 4+). However, the lack of power weapons makes their offense someone to be desired. They have more staying power than daemonettes, but not as much as bloodletters. Typically, they are best against non-3+ armies, whence their attacks are more likely to stick. The good thing is that they are cheap. However, I never use them. They just don't have the punch or the staying poiwer.
Horror/Flamers: The best daemon against Nids are horror/flamers...hands down. Flamers are the meat of this particular daemon squad, while horrors are there to soak up wounds. A good ratio is 2-3 horros for 3-5 flamers. I prefer having 2/5 or 3/4. Against horde armies (such as bugs/oks) these daemons are dual purposed: One, they reduce numbers through their ranged attacks; and two, they function as speedbumps (2 wounds) They are expensive, but they have two wounds, so they last a while. Flamers are one of those daemons that look questionable on paper, but against Nids they are a pretty good asset. They are also good against Orks, I.G., and Eldar.
Daemonettes: These girls are probably the most effective daemons for their point cost. Use them primarily against vehicles and expensive elites. Typically, they don't make good troop replacements (unlike bloodletters), because Daemonettes have no staying power, thus, they are usually wiped out entirely after the round they are summoned; but don't worry, because they should have taken out the most expensive models in your opponent's army. For 90 points for 6 daemonettes, they should always take out their point cost. For me, they nearly always double their point cost. In most battles six is sufficient, unless you are using them against basic troops, in which case eight or ten is more suitable.
Nurglings: A good speed bump against Nids. You really need 5 nurglings per 500 points in order to make them effective. They are surprisingly decent against eldar (3 toughness in general). Most players stay away from them, if only because of their limited application in an army. Against Tau, Marines, & Necron, these cute little blobs just don't do much.
Furies: Best against ranged armies that you have trouble getting into c.c. against. I prefer them to flesh hounds, because furies are cheaper and acheive essentially the same result. Use them gainst I.G. & Tau. They can do well against Marines, but I'm always hesistant due to their weak defense. Yes, furies strike first, but marines have the superior armor save.
I've left off Flesh hounds and Screamers, because I've not used them enough to comment.