They are great for flank attacks, always taken them in units of 10. When they are a unit of 20 my opponents targets them with artillery or missile fire. I guess they look scary, or perhaps they know the exec's weak save.
Remember against serious artillery, everything dies, no matter what armour they wear, and I have thus found execs quite usefull against any opponent who takes great weapon-armed dwarves. In fact they are extremely usefull since even with heavy armour the saves tend to be negated on both sides when a great weapon is used. Therefore you are not paying for useless heavy armour (heavy armour is also useless when handguns are used). Plus dwarves have such slow init that you always get to go first. (Unless of course the opponent is smart enough to equip with shields and hand weapons, but the execs kick against those also.)
I like to use them in combo with any unit that may have to charge a uber unit containing a general from the front. I use the execs to flank charge, hopefully on the side with the general. In fact the last game I played the executioners killed a targeted Black Orc Warboss with killing blow!
It saved my unit of corsairs as he was killing 4 a turn at least.
Use them like anything else, intelligently and in combinations. Like linda said, they are actually quite cheap for what you get.
While running a million dollar company, singing at weddings, and his frequent jetting to Spain Elton Jon style, Dark Alliance found the time to stand on the doorstep of Games Workshop like Moses and the Pharoah and calmly state, "Let my people go."
The Hydra Banner and the Standard of Slaughter work well with them. And they look so cool...
