In short, the Marauder Squad is the Blackshield equivalent of a tactical squad, veteran squad, or assault squad (depending on your point of view). It is a very variable and customisable squad, depending on the nature of the force that is desired to be built.
For me, the degree of customisation is almost unsurpassed in the pure legions army list. With all the usual array of legion weaponry available, they also have thinks like xenos death locks available and the pariah armoury available.
They can take chain axes as their basic close combat weapon if desired as well (and why wouldn't you when the alternative is a mere chain sword or close combat blade?). Plus a lascarbine or auto gun for free as well.
The extra members that can be added are a relatively cheap cost, although the unit base cost is somewhat steep.
The points cost, as mentioned above, is pricey, but gets better with extra bodies. There is also a temptation to do heaps of upgrades here. I think this would be a mistake. A well-thought through set of upgrades with a specific battlefield role would be much better.
Here are a set of builds to get folks thinking about the possibilities.
5 Marauders, 1 multi-melta, Chieftain with power fist, melta bombs, combi-melta (175 points).
A bit of a melta suicide unit -- perhaps to take advantage of a free deep strike. Its very expensive though and other units might plausibly do it better.
20 Marauders, each with 2 bolt pistols, pariah power armour, 4 power weapons, Chieftain with power fist and melta bombs (405 points).
This is a very big unit that will die rapidly to massed auto cannon shots and the like. However, the ability to run and snap shot is great -- particularly with twin bolt pistols each. Run alongside a rad grenade armed HQ choice, and it looks better.
10 Marauders, each with lascutters apart from 2 with melta guns, Chieftain with thunder hammer and melta bombs (320 points).
This is one to ride inside a land raider to victory. Drop one member to include an appropriate HQ and select an appropriate Wrought by War rule.