Personally I have never used one. However I have seen them being used badly, and being used exceptionally well.
There was one player ( on my side) that was so scared of losing his instability test that he kept his daemon safe behind some rocks and od nothing with him for the entire game.
That is 300 points of high quality killing machine, sitting there doing nothing. (This annoyed me as my undead needed to kill something and his daemon could have won us the game)
Instability is quite a put off. But most armies have a disadvantage (the three that I played did. Orcs- Animosity. Undead- Well, that just explains itself)
Each army however counter acts this with something good.
The good use of the daemon that I saw was unfortunately being used aginst me. The opposing player had put a slanesh daemons prince in with his unit of Slanesh daemonettes.
He massacred me with that one unit basically. Like the undead you need to work your characters and your units together with Daemons. The units can hold themselves (more than I can say for some of my **** troops

However the characters can't. Just because he's got weapon skill 8 and a lovely magic item, it doesnt gain any benefit if he vanishes.
Also that unit of excellet Daemons is going to be nigh on invincible if a Daemon is sitting there with them.
However if I had to take A Daemon it wouldn't be a Daemon prince. It would probably be an exalted. There is too many points to spend on something which can be matched (roughly) to a chaos Lords.