Ron's asked for our 'must have' units and having thought about it, i came up with the following for each of my armies, both fantasy and 40k:
Space Marines - Vanguard Veterans with jump packs
It used to be librarian with Fear of the Darkness and a drop pod, but since the new codex it has to be vanguard veterans. Combined with Shrike's fleet ability and a locator beacon, you can pretty much count on being able to get these guys to where you need them before your opponent can react and do some *serious* damage when you get there. I typically have 7 men, one guy with TH/SS, three with power weapons and one with power fist, with the rest catching bullets. Any more than that and it's typically too high in cost to be worth it.
Guard - Guardsman Marbo
Ninja with explosives. Enough said
Orks - Flash Gitz
Thye may be expensive in points, They may not be the most effective or units, but god damn it, they're fun. Pirates in space never fail to amuse. Stick thme in a battlewagon and have fun with more Dakka than you'll ever need. And plus there's some sweet conversions to be done too, with tricorn hats and peg legs being the order of the day.
And don't get me started on Badrukk. He carries a plasma gun that fires 4 TIMES. Sure, he'll probably miss, but that's what ammo runts are for. He's the only ork model i rushed out and bought on the day of release. He's amazing in so many ways i could go on for hours, but i'll move on...
Eldar - Harlequins
I only play fluffy armies, rather than the latest shiny codex or power codex and the Harly background is the only eldar stuff that has really grabbed my attention for long enough to get me collecting an army of them. So for that reason alone, they're my must have eldar unit.
Chaos - Khorne Beserkers
Frothing chainaxe-wielding nutcases ftw!
Witch Hunters - Inquisitor Lord
I just love the cruel irony of my army being led by the very thing they're meant to hate.
I can imagine the confusion of his over-zealous followers "b-b-ut, who do we burn?!"
Tyranids - Carnifex
Well, one carnifex in particular. My carnifex: Binky.
He's cute, cuddly and just loves being tickled behind the ear after a hard day muching space marines. Game-wise he's a 300pt monstrosity who's only been killed twice in the dozens of games i've used him in, both times to the same librarian.
A fine must have in my opinion, just for the sheer terror he provokes
Dark Elves - Cauldron of Blood
Anything that gives my Cold One Knights a 5+ ward save is a must have in my book
Vampire Counts - Zombies
180 zombies and still growing, haha! Honestly, who could say no to creating your own zombie apocalypse?