The Legion Praetor is one of the mightiest warriors in any legion and therefore comes with an excellent array of options, as well as the ability to grant the entire force a "rite of war".
These rites of war enable the force to be highly themed: ranging from a decent of angel's type drop (think: hit and run on every thing) to an orbital assault (teleportation for terminators) and an armoured spearhead (impose a tank shock penalty to opponents). But there are costs for this: usually not being able to take any kind of fortification and some other set-backs. Each legion has their own individual rite of war as well, hence Legion Praetors are a popular HQ choice for any HH army list.
At a base level, they come with artificer armour a bolt pistol and a close combat weapon plus the usual grenades. With 3 wounds and a good WS and BS, these guys can really be the lynch pin of an army, so its probably wise to deck them out with some of the options. Think of him as the 30k equivalent of a 40k chapter master and you'll get the equipment right almost by default. Below, I give a selection of possibilities for Legion Praetors and how then might be run.
1 Legion Praetor. (100 points).
The "naked" praetor. Why take this option? Simple: you want to take a rite of war but want to save points to use elsewhere in the army. Place him inside a large squad and sit said squad on an objective all the game. There's little else to it.
Legion Praetor, paragon blade, archaeotech pistol (145 points)
This one is purely to match the model sold by Forge World - no other real reason, but it gives a nice example of a slightly more base-level commander than the "naked" version above.
Legion Praetor, terminator armour, paragon blade, digital lasers, volkite charger (177 points)
This one also matches the miniature available from Forge World, but is a really really good option in terms of points to effectiveness ratio. Seriously: this guy is much better than a footslogging non-terminator equivalent (below) from his points alone.
Legion Praetor, bolt gun, iron halo, paragon blade, digital lasers (167 points)
Place within a footslogging squad and go and conquer! But note the points of this guy versus the terminator equivalent. Sure you don't want a terminator instead?
Legion Praetor, jump pack, iron halo, paragon blade, digital lasers, archaeotech pistol (205 points)
Now this is an expensive build, but really nice when placed inside a jump infantry squad. Even better when they deep strike successfully. Certainly worth taking if you're opting for the Angel's wrath style of army.
Legion Praetor, legion jet bike with heavy bolters, melta bombs, iron halo, thunder hammer (200 points)
This one is purely for laughs and exceptional in that I wouldn't expect to attach a squad to it in normal circumstances (but perhaps could be persuaded to opt for more jet bike hunters to accompany him). He's a solo kind of commander, there to wreck some havoc and die in the early turns. How did he make it to the rank of Praetor again with this attitude? But note its actually cheaper than my jump pack equipped Praetor above, so there's some possibilities that its not so insane after all.