Ah, the Space Marine Dreadnought - one of the units that got me hooked to Space Marines. Old heroes in even older machines still fighting for the Emperor despite suffering from crippling wounds - paired up with a nowadays great plastic kit - what's there not to like?
Dreadnoughts require some work to use though. You can't simply walk them up the field and hope that their rather mediocre armour will protect them long enough to be able to deal some damage. They are fire magnets, and can suffer horribly from both incoming fire and assault. So what can you do to fix these problems?
Drop Pod + Dreadnought:
The humble Drop Pod is the safest way to deliver a Dreadnought within range to an enemy. The usual kit for a Dreadnought in a Drop Pod is: Assault Cannon, Dreadnought Close-Combat Weapon with built-in Heavy Flamer and Extra Armour, plus the Pod itself. This brings the Dreadnought to a pretty hefty 150 points, but the configuration is very effective if used with a bit of care.
First of all, when the Dreadnought becomes available from reserves - make sure you pick a good spot to place it. There should be some terrain next to it that blocks line of sight, and there should be one or two good enemy units there that the Dreadnought can deal with. Placing it next to a Devastator Squad is a bad idea, whereas placing it next to a team of Eldar Pathfinders would be a better one. Even though the Pathfinders aren't worth as many points as the Dreadnought, he will deal with them on the turn he lands, and Pathfinders can be such a nuisance to a Space Marine force that it is often worth it just to reduce the incoming AP 1 fire.
Also make sure to place the Dreadnought well in conjunction to the Drop Pod. The Pod itself will block line of sight, something that is very useful for hiding the rear armour of the Dreadnought, and thus greatly increasing the survivability of it for at least another turn.
In the subsequent turns after the landing, when the Dreadnought is free to move, it is often best used to deal with enemy shooty units that aren't really capable of dealing any damage in return. Tau Firewarriors are a prime example of a unit that can cause much headache for the rest of your force due to their superior range. They don't stand a chance against a Dreadnought at close range though.
Other options for the Dreadnought in this case is to make it Venerable, which greatly increases the survivability of it, but it is a very expensive upgrade and should only be considered if you have the points to spare and everything else is nicely tooled up - as in, you don't want to downgrade a Land Speeder Tornado to a regular Heavy Bolter Land Speeder to pay for the Venerable upgrade. It's not mandatory in any way, but definitely a good upgrade.
The Assault Cannon can be upgraded into a Lascannon, which makes the Dreadnought a pretty good shooty unit, especially if the Dreadnought Close Combat Weapon is upgraded to a Missile Launcher. Walkers are able to move and fire two main armaments, which means that you are able to move 6" and shoot with both weapons. Add Extra Armour to the mix and place it in the back, where it doesn't draw too much attention.
To keep the points down, you could just leave the Assault Cannon as it is and pair it up with a Missile Launcher. I know Grey Knight players who swears by this configuration, that it is the best possible and most cost-effective configuration for a shooty Dreadnought - especially against a mobile opponent that is likely to move towards you. I have no math to back that up though - and one of the strongest arguments against this is that Space Marines have access to a much wider selection of good anti-tank vehicles than Grey Knights.
Firemagnets and sacrificial Dreadnoughts:
"It is better to die for the Emperor than live for yourself" is one of the catch phrases of the Dreadnoughts in Dawn of War. Let them die then, and just take a Dreadnought with Extra Armour and Smoke Launchers in the list. Place it up front to push back the opponent's deployment (especially effective if you have few Troop choices in your army of course) and then watch your opponent as he starts to move his anti-tank squads to get line of sight to your lone walker. Dreadnoughts have Assault Cannons after all, and people fear Assault Cannons.
If you get first turn, move it up and pop smoke - and the Dreadnought will be able to withstand a lot of punishment. This is a useful tactic if you have other units that you want to stay out of harm's way for a turn or two - for example Rhinos and Land Speeders.
There are always a fair few units able to take on a Dreadnought, everything designed to take on a tank will be able to harm a Dreadnought that isn't protected by a smoke screen. Railguns, Lascannons, Missile Launchers, Meltas and so on are all very common weapons nowadays, and they will all deal with the Dreadnought without breaking a sweat.
Assault is sometimes very dangerous for a Dreadnought as well. Against some enemies it is salvation, since you can't be fired upon and a lot of enemies can't even scratch it since grenades are so ineffective against it. If you on the other hand see an Aspiring Champion or a Veteran Sergeant swinging a Power Fist - watch out. Power Fists are often called "Dreadnought insurance" since a hidden Power Fist will be able to deal with the ancient war machine with stunning ease. In the most likely scenario - if you charge a Tactical Squad or similar with a Dreadnought, you might kill one or maybe two Space Marines, and then the Veteran will step up and kill the Dreadnought quickly.
The Dreadnought's rear armour is also a good weak point to abuse when dealing with it - especially if it has arrived via a Drop Pod. Almost any weapon will be able to harm it, and moving around a Dreadnought to shoot at the rear when it's standing in the middle of your army is very easy.
Dreadnoughts in the Future:
Dreadnoughts have received a price raise in the latest Dark Angels codex, to such an extent that they aren't even really competitive. They suffered a lot more from this than the Land Speeder Tornado, since Extra Armour is nowadays three times as expensive as in the 3rd edition Dark Angels codex. This is obviously a very possible "fix" in the rumoured Space Marine redux or at least in the next codex in a few years. But until then - take these ancient heroes as much as you want, and keep purging enemies of the Imperium with them.