Tzeentch is very strong at the moment with tons of good shooting attacks, good mobility (Skyfires, Flamers, Screamers, teleporting with one of the battalions I think), and actually pretty good in combat compared to their 40k counterparts. Good synergy with the Disciples book between units as well.
I haven't experienced much of 40k Nurgle Daemons, but they are very good at the resilience synergies, and augmenting to-wound rolls, plus extra bubble damage with Rot and stuff. Plague Toads are one unit on deck for painting.
Slaanesh Daemons have decent unit variety I think, with all the 40k ones represented, and Soul Grinders and Princes can of course be dubbed Slaanesh (the Princes are especially useful with Slaanesh). I'm working on a Cohort of Slaanesh, as the Daemonettes make decent Battleliners, and all the models within the Cohort gain 1" to movement plus can regenerate if enemies flee near them. I think that's the best Cohort. Of course they're all fast in general, and fairly rendy.
Khorne Daemons have awesome battleliners in the way of Flesh Hounds and Bloodletters, and coupled with some Mortal leaders (Bloodsecrator, Bloodstoker, Slaughterpriest) Bloodletters can be buffed up to scary heights....for combat of course. The new Blades of Khorne should prove to be a huge boon to Khorne Daemons too.
So at the moment, straight up power wise, I think Tzeentch has it, though in skilled hands any of the Chaos gods is plenty potent (with Nurgle being the weakest IMHO). Failing those charge rolls and poor timing with combat activation screws anybody over in Age of Sigmar.
Let us digress a bit and not forget however, that might Archaon, little horsey version or huge Dorghar version, both have the Daemon keyword, and all the god keywords. So using him with each of the greater daemons is highly appropriate and friggin amazeballs! You will however want a Sorcerer Lord on horseback too for Daemonic Power, which ironically comes from a mortal