Never satisfied with just one option, I made all three Exarch variants for my Striking Scorpions. The Chainsaber'd Exarch was a small conversion. He has the usual right handed Exarch Saber that comes with him (sword+claw has same sword) and the left hand was the arm from the Biting Blade, but with a normal Scorpion's sword attached (and cleaned up with a little Green Stuff). While reading through the entry, I found that the Chainsabers option comes with "gauntlet-mounted twin-linked Shuriken Pistols." Well damn. I fished some spare bits out of my bitz box for the two pistols, and Green Stuff'd a wrist-connection to look similar to what's on the Dire Avengers sprue for their Exarch. I think he came out looking pretty damn good.
Ok, pro's and con's:
When taking an Exarch with your Scorpion squad, you equip him in a manner to best suit the role you want your Scorpions to achieve. Also, each equipment set is better against different enemies. Low-med toughness and low-no armor? Chainsabers all the way. These guys allow you to reroll failed rolls to hit. Combine that with the twin-linked shuriken pistols and he greatly bolsters the effectiveness of the Scorpions. The Chainsabers set is great for low armor horde armies. Swarms of gaunts (even 'stealers, though you'll take heavy losses as well) mobs of Orks, Imperial Guard, Fire Warriors, other Eldar.
Facing high toughness, med-low armor? Biting Blade. This set sacrifices one attack compared to the others, but you get +1 Strength for each successive hit. Note that you already count as having a S4 due to the Blade itself. 1 hit? S5. Get 2 hits? They both hit at S6. Three hits? S7. Did you get all 4 hits when on the charge? You lucky sunuvabetch, that's 4 hits at S8. But, still no armor penetration, which brings us to our last configuration:
Sword+Claw. This is great against high armor enemies (though really, aim your Banshees at them), but because of the sword he becomes the best choice for versatility. He can do nearly anything, where the other two are a bit specialized. Something to be said for him also ... Gauntlet mounted Shuriken Catapult. He can fire it and still attack in melee with the Claw.