well, for a gun i'd honestly go for either a bolter-plasma of bolter-melta combi-gun! it's so nice being able to fire even one shot from such a deadly weapon with the commander's wonderfull BS5!
(and don't forget that plasma is rapid fire so you can get two shots within 12"!!!)
a lightning claw/s, while expensive are great toys because of the re-roll they impart... if you're wanting your commander to hold his own in an assault, a lightning claw is a must!
on the other hand, if you're simply trying to keep him cheap because you only his Ld abilities, then a power toy is just fine.
the other option is to go to town and turn your commander into a monster slayer!
thunder hammer, bolt pistol, combat shield & mantle. expensive? oh yes! but this guy can thump pretty much any big nasty death gribbly that doesn't bear a mark of chaos!
in this role, i advise against a command squad... the commander is suvivable enough while the vets would simply get squished! just slap your commander into a regular squad for protection before sending him off on his great hunt!
finally, it must be said that the main thing to avoid doing with commanders is going nutty on wargear! commanders just aren't the combat monster most people think they are... spending 60-80pts or more on wargear is just a waste because overall, you simply don't have the same resiliance/abilities that other fighty character have!
just stick to termie honours, combat shields and melta bombs!
hope this helps,
cheers!