The first route is generally more fun, especially if you include random elements like Spawns or a Hellcannon. Knights are a given in any Warriors of Chaos list, simply because they're the best unit in the book. Horsemen marked with Slaanesh and given throwing axes are excellent for harassment and baiting. I've recently put them to good use against the new Skaven by dragging a Plague Furnace into some woods. If you're using Spawn, the best way to use them is in pairs and mark them up with Slaanesh. I've put them to good use against Wardancers, as the wimpy elves have to choose between striking first and losing an attack or striking second and possibly losing attacks due to models dying.
The final build I'm going for will have a Lord on a Dragon, an Exalted on a disc with a flail; a scroll caddy, two units of Warriors; a block of Marauders, a unit of horsemen; two units of warhounds; one or two units of knights depending on how I tool them up; and either a Hellcannon or two Slaaneshi Spawns. My plan is to spend the first couple of turns getting things into position, waiting for my opponent to mobilise, then sending in the Dragon, Exalted and Knights to take out nasty things while my infantry plough up the middle. I may end up favouring the Hellcannon as it can be firing while I set this up, and if my opponent is unwilling to move I can keep shelling them as my troops advance and hopefully coax them into moving out of their position. I'll report back after I've tried this.