Wraithlords are the toughest unit that an eldar player has available to them. The fact that they have a toughness value and not an armor value makes them much stronger than any dreadnought.

Let us take a look at a wraithlord being hit by a las cannon, and a dreadnought being hit las cannon. The wraithlord will take a wound on a 3+ meaning that they can get hit by 4 lascannon shots before dying.
The dreadnought will take a penetrating hit half time time and a glancing hit 1/6 of the time. As half of the penetrating hits will kill the dreadnought, they will survive about 2 or 3 lascannnon hits total.

Furthermore, wraithlords never actually get damaged. They are either at full functionality or they are dead. Unlike dreadnoughts, you can never lower the functionality of a wraithlord. They are either dead or they are not.

The wraithlord is cheap. When you compare the cost of a wraithlord to a carafex, the wraithlord has the same strength, 2 more toughness, two more initive, one more attack and one less wound. They are also 15 points cheaper than the carnafex.

Wraithlords hit with a strength 10 attack with no save allowed. This will auto kill most characters, and will keep necros and death chapter marines from coming back from the dead.

Wraithlords are immune to morale. They do not know fear.

Wraithlords can take advantage of cover. They count as models and not as vehicles so you can hide behind a tree and get that cover save.

The final beauty of the wraithlord is they do not HAVE to have a heavy
weapon on them. This means that you can have your wraithlords focus on what they do best, hand to hand.

The Purpose

As my friend once told me, you should always throw 3 wrathlords into an army just to keep your opponet honest.

The wraithlords are hand to hand monsters. Few things are more fun than to see your wraithlord tear through an entire squadren of chaos bezerkers. Its even more fun when your opponet realises that they need at least a strength 5 weapon to wound your wraithlord, and then they know that its just a matter of time until your wraithlord kills them all to a man.

Wraithlords fit very nicely into a guardian squad for this purpose. After your oppents get torn apart by wraithlords, they will be very afraid to get in close with them again, and will try and shoot them up first.
This means they will avoid hand to hand with your guardians as long as there is a wraithlord threat in there. That means that your guardians can keep moving foward and then spraying the upsurt races with their catapults.

Wraithlords are tough, but should not be expected to take the full brunt of a shooter army alone. If you are going to fight an army such as imperial guard or Tau, its best to try and run them up outside the main fire corrodors.

Remember, the goal of your wraithlord is to get into hand to hand as quickly as possible. They only thing that hurts is that they have to plod along to the fight.

The Weapons

Some players like to put starcannons on their wraithlord. While this is a good trooper to have a heavy weapon on, it is important to note that the wraithlord is designed to get into hand to hand, and if you spend your time shooting then they are not filling their function.

A weapon also nearly doubles the price of the wraithlord. At 75 points, they are a steal. At 125 points, they are worth their value.

Wraithlords already come with either two flamers or two shuriken catapults.
You want to use two flamers. Why would you want to add another weapon and make one of those unuseable.

Wraithlords already attract a lot of fire. Spend those 50 points on a vyper which will be albe to move around more quickly to line up those shots that you need. The wraithlord will still attract the fire it needs.
In essence, dont put all your eggs into one basket, but spread them out a bit.