Just a quick bit to add to the 40K Basics archives - scale in 40K. Not the scale of the models or the battlefield, or how silly it is that a bolter can only shoot as far as a man can run in 2-4 turns (or how long a turn is...). Rather, how the scale of a game can affect how powerful something can be.
There's two aspects involved.
First is relative power. The smaller the game, the bigger threat individual things can be. In a 500 point game, that 10-man marine squad can be brutal, while at 2000 points it might be an afterthought.
Things that are hard to hurt become that much more survivable the fewer potential threats they face at lower levels. Things that can dish out serious damage become that much more dangerous at lower levels as the damage they can do before being taken out can represent a higher percentage of the enemy army.
Second is the force multiplier effect. Some things have fixed costs, but benefit your army more as points increase, sort of the opposite effect to the first point, where things become less individually potent as points go up. Force multipliers are things like good ol' Vulkan in a Space Marine army (at least under the 5th edition codex...we will see for sure in a few weeks how he works in 6th) that affect something that you can get more of.
At a low point level, the "tax" of buying Vulkan to get twin-linked meltas and flamers may not be worth it; you only have a few weapons that would benefit. As points increase and you are able to pack in more meltas and flamers, the benefit you get from the same investment in Vulkan pays off more and more. Similarly Duke Sliscus for the Dark Eldar improves your combat drugs results and gives you options with raiders and such, the value of which increase the more wych cult and skimmer units you take. Chaos Marines can get bonuses from fixed cost icons, which are cheaper on a per-marine basis the larger the squad is. Radius powers, like Blood Angels Sanguinary Priests, are more valuable the more units and more high-value units you can afford to pack into the area of effect (Some radius type powers could also fit in the "relative power" category - the Sanguinary Priests' Feel No Pain bubble could be considered more effective at lower points where there are fewer attacks that would bypass it).
Do you have any favorites? Things that work well in relatively small games, or things that really come into their own as points climb?