As I mentioned before, I got to build the GK Terminator/Paladin set for my LGS. I finished them up this afternoon and here are some warnings and notes on assembling them.
First off, the instructions are flat-out wrong on several cases. The instructions tell you certain torsos go with certain legs but they're wrong. The fiddly bits on the front of the torso such as purity seals, chains and bones get in the way on certain pairings. Furthermore at least one of the arms doesn't fit properly on the body at all with the shoulder pad and Storm Bolter. You should glue all the torsos together front to back, then test each one individually with the legs to see which go best together.
Also, be sure to dry fit! It will help you make sure your arms are glued properly if you know which ones fit where and in which poses. GW's figures are getting more and more complicated (which is good aesthetically) but it makes modeling a bit more difficult. Always dry fit before gluing.
Also you're allowed to take two heavy weapons per 5 guys but the kit only has one heavy weapon arm (I'm pretty sure it didn't anyway, now that I returned the leftover sprues I realize I didn't really look through the extra arms, but I'm fairly confident that there's only one). It would be very easy to convert a second out of a leftover Storm Bolter arm, but it's kind of annoying that you have to do so.
Now for the good. There are a ton of options. I believe that every single close combat option is on the sprues (yes, there are 5 pairs of Falchions). There are also a ton of leftover bits. If you're creative you could probably get another box of regular Terminators and convert them up into GKs (you'd be short shoulderpads but there's enough leftover heads, weapons and tilting shields to make up for it).
Also, these kits are packed with detail. You will be very busy painting these guys.