A swordsman without peer, Lucius the eternal provides Slaanesh players with a counterbalance choice to Kharn for Khorne players; and for a similar points cost.
Fundamentally, Lucius is yet another close combat exponent, but does not have a pre-set warlord trait like Kharn. What he does get is a number of attacks equal to the WS of any opponent in a challenge. And said opponent will get -1A in return. Should any wound caused on Lucius be saved, his shrieking armour will strike back with a S4 AP2 hit which could be nasty.
Other than that, most things that have already been mentioned about Kharn probably apply to Lucius. He unlocks noise marines as troops, he does not have eternal warrior (despite his name: shock horror!!!), and we probably wouldn't mind upgrading him to a daemon prince. And even a chaos spawn upgrade might be attractive if he is down to his last wound!
And as with Kharn, we want to get Lucius in to combat pretty quickly. So, we're going to be thinking about placing him in a combat-orientated squad (marines, possessed, terminators, fabius bile upgraded squads, mutilators - well, probably not mutilators because we probably won't be running them, right?!), and then embarking the squad in a land raider, or rhino, or giving them a Huron or Ahriman inspired Lord of Deception ability to infiltrate even (as a combo).
But he won't quite hit as hard as Kharn in close combat. Against a space marine sergeant, he's likely to be getting a base of 4 attacks and going first. Better hope that 3+ or 4+ to hit and 4+ to wound results in a wound! Kharn really shines by comparison on the charge quite frankly. Therefore, whilst I want to like Lucius, and indeed do like his special rules, I don't see him as being highly competitive (and indeed: competitively priced enough) to consider a tooled up chaos lord as an alternative. Let's be honest: if our opponent has feel no pain, his power sword may not result in any wounds at all. So, sorry Lucius: I love your background and some of your special rules, but I'll be sticking with alternative choices methinks.