I agree..Maugan Ra looks the coolest, but sheesh...the Maugetar has as much punch as a sedated slug fighting its way out of a paper sack.
Name any of the other Phoenix Lords, and you'll see the potential for a much more worthy HQ choice. Aside from Jain Zar's redundant Exarch abilities and Fuegan's redundant power weapons, Maugan Ra is perhaps the least useful as far as cost effectiveness goes...and yeah, I know he's the cheapest of the Phoenix Lords.
If I were to pick one, I'd go with either Karandras or Jain Zar, though Baharroth is also quite nifty. I just don't have him painted yet.
If you just want a model that will have your opponent tear his/her hair out in frustration though, go with Asurmen. An invuln. 3+ save (when he's got his trusty peons with him) combined with only hitting him on a 6 will tie up just about any unit...even Ctan and Pariahs!
Fuegan is useful, but not so much different from the regular Exarch as to make him really stand out.