Being a big fan of Captain Sicarius myself, I'll share some of my thoughts...
I like him for many reasons. Mostly, I enjoy the fluff behind his character. When I first got into 40K, opening the SM codex, and flipping through the beginning, I came across his 2nd Company color photo. That picture arguably is what sold me on Ultramarines 2nd Company. I then got my Battle Company together in about 3-4 months, and had it ready for the Megabattle the following year.
Now as far as practicality goes, he's IMHO (just as Ben said), worth his weight in points. For 55 more points than a regular Captain with the same weapons, you get:
- Feel No Pain
- One special rule for a Tactical Squad (Most of the time, it'll be Tank Hunters or Counter Attack though)
- The ability to reroll Seize Initiative (Going from 1/6 to 11/36 nearly doubles your chances)
- Giving your entire field Ld 10 (Makes Combat Squading much more effective)
- Having the Talassarian Blade (Actually just had a chance to use this in a Challenge yesterday. KICK. ASS.)
So considering what he's got in addition, it's quite a bit for the extra 55. As for the Chapter Master, I'm not as crazy about him. Orbital Bombardment hardly ever gets used in my games, since I'm usually always moving him, and if I'm going to play an Chapter Master, well who else am I going to pick aside from Marneus Calgar (again, for fluff reasons, since you know.... Ultramarines.)
On the Command Squad, my typical loadout would be exactly what Ben said too. 4 Plasmaguns or 4 Meltaguns can do so much damage. Even with Feel No Pain on a +5, their survivability is still pretty decent. I haven't tried using Storm Shields on them yet, like Ben suggested, but that's also a very viable idea. I can only imagine what having 4 TH/SS in Power Armor could do...
If you attach Sicarius to the Command Squad, then the Company Champion may not be necessary. However, for 15 points, you get a Power Weapon, Combat Shield, and a +1 bonus to WS. Again, well worth it's weight in points. He's also someone who can make and accept Challenges, so if you found yourself up against a unit where Sicarius would do better fighting against the squad, sending the Company Champion would be a viable tactic.
Hope that helps!