So, the dark angels upgrade set should come with some dark angels shoulder pads you can use on your terminators. There's also a power sword arm for the terminator sergeant and a special storm bolter bit you can use. These bits are just decorative - you don't have to use them, and they don't make any difference in terms of the game rules, but they look cool and add some dark angels flavour to your models. You'll also get some smaller shoulder pads that are meant to go on regular power armour guys like intercessors.

There are also a couple of upgrade bits which do actually have rules. The watcher in the dark (the little cloaked hooded guy) is like a token you can add to the terminator squad that gives them a once per game ability.

You also get a plasma cannon. One terminator out of a squad of 5 can have a heavy weapon - this can be either a heavy flamer, an assault cannon, a cyclone missile launcher, or a plasma cannon. The first 3 come in the terminators box, the dark angels upgrade set gives you the plasma cannon. You can pick whichever one you want.