A single lord level character is allowed in armies of 2000 points or larger.
The models: There are a number of metal Dwarf Lord models and also a Dwarf Champion model. There is also a boxed set with a Dwarf Lord and Dwarf BSB. If you are using Shieldbearers you will probably want the Dwarf King Alrik Ranulfson box set.
In games of 2000 points or more you can have a Dwarf Lord. The Dwarf Lord has several advantages over the Thane. The most obvious one is that he is a better fighter, with a higher weapon skill and initiative and more wounds, and can spend more points on runic weapons and armour. However, his advantages as a general are probably more important. He increases the leadership of the units around him. He lets you take one more unit of Longbeards than you could otherwise take. Put him in a unit of Hammerers and they become immune to fear and terror.
If you are going to use a Dwarf Lord you should equip him with Shieldbearers.
The models: There are two different metal Runelord models. If you are using the Anvil of Doom you will probably want the "Thorek Ironbrow & the Anvil of Doom" box set.
The main reason to use a Runelord is to get access to the Anvil of Doom. A Runelord with an Anvil of Doom brings an extra 3 dispel dice to your army, giving you a total of 7 dispel dice. More importantly the Anvil of Doom can be used to perform one of the following functions during the shooting phase:
In the first few turns of the game you will probably use the Anvil of Doom to attack enemy units. Units targeted will take D6 magical hits. More importantly, they will also have their movement halved. This will slow your opponents advance towards you and allow your war machines and missile troops more time to shoot at his units. Once the enemy closes you will probably want to use the Anvil of Doom to move a unit in the shooting phase. This means that in one turn you can march 6" in the movement phase and then charge 6" in the shooting phase, so effectively a 12" charge range. Its quite a novelty for a Dwarf unit to get to charge.
Miners also become much more useful if you are using an Anvil of Doom. The Miners can't charge in the movement phase of the turn they come on the board. However, with an Anvil of Doom they can charge in the shooting phase. If you are using an Anvil of Doom its worth considering two units of Miners.
The Daemon Slayer is a one man killing machine, albeit without any armour. Both the Dwarf Lord and the Runelord bring advantages to the army in addition to their fighting prowess and are thus better choices.
For each Daemon Slayer in your army, you can have an additional unit of Slayers in your army (normally you can only have a single unit of Slayers). However, you get the same benefit from a Dragon Slayer for less points and without using up the Lord slot.