I finished up my Raven Guard Techmarine with accompanying Thunderfire cannon the other day. I think I've figured out why these guys are so much fun to paint. They remind me of "Rogue Trader" era marines with all the cables and hoses on them. Sure, it's not exactly the same, but it reminds me of that period.
One day, I'm going to build an army like that.
I ended up having to fill in the void spaces in his arm connections with some greenstuff so that they would fit nice and snug on the model. The connections "as is" were loose and would not have held up to any kind of use.
Other than that, the Techmarine himself is fairly straight forward, the body being one piece and you only have to attach his arms and backpack.
The other post on the cannon in particular can be found here.
I think everyone should have a formula for painting red. I know it's a hard color to get right, but it's worth it in the end.