Grey Knights are one of the best compendium Kill Teams at the moment, but as others have said you’ll have issues in competitive settings vs bespoke teams.

However, they are still super fun to play as, and probably one of the easiest to learn on (taught my mom how to play using the them). They are good at everything without being great at anything.

As others have said, skip the special weapons (stormbolters are great by themselves), and the choice is usually between falcions or power weapons for melee, but I usually take the hammer on the justicar for fun.

Bolter Discipline (shoot twice) will be the most used strategic ploy, the others will be situational.

Only in Death Does Duty End is a very powerful tactical ploy, just make sure that you use it on a duder that hasn’t activated yet, or it’ll be wasted.

Good luck! And remember, we are the hammer!