Hellstorm Rockets and Mortars are horrible on units like this. Salamanders are also amazing for killing horde units.
Basically I think that many armies will have no need to fight against units like this. Fielding 3 of them won't see any of them in combat against anything that is scared of them.
Here's a Chaos Lord idea I was working on, with the plan of killing Elf super units. It works fine against these guys, too.
Chaos Lord of Tzeentch. Gold Sigil Sword, Enchanted Shield, Talisman of Preservation, Helm of Many Eyes, Stream of Corruption, Daemonic Mount. Turn 1, I charge and kill the champion (with big overkill), doing an additional 3 wounds from breath into the unit. I can reasonably expect to win this round, ending Frenzy. After round 1 I face 12 attacks, 6 hits, 3 wounds, 33% chance of taking a wound each round (11% if you fail fear). I do 6 wounds a round from the Lord and Mount, winning every round, 27.78% chance to break the unit each round (16.67 if LD9 general is near, a lot less if BSB near as well). On average, you will all die to the Lord before you kill him, and you will lose steadfast after a mere 7 rounds.