I think there were far more options to be 'cheesy' back in the day, when there were more loopholes in the game. These days, they seem to know what they are doing and if its in the codex then just go for it.

Having said that, I am kinda tempted to run 2 squads of 5, DH Inquisitorial stormtroopers with 2 flamers or 2 melta guns in a chimera with heavy flamer turret and heavy flamer on the front, using up the 0-2 troop choices allowed in an allied DH army... then doing the exact same thing with the WH's allowed 0-2 troops in an allied army (since they are pretty much just the same troops choices but in different books), then running around with Vulkan and my twin linked heavy flamer razorback riding space marines carrying thunderhammers...

is that cheesy? >.>