As we all know, Chosen are sort of an Alpha Legion signature unit, with their infiltrate ability. I've been thinking about whether Rhinos are a good idea with Chosen, and have concluded that they should be almost compulsory. I have come up with some explanations and a few (sneaky) extra uses for the Rhinos.
Firstly, to counter the arguement that
"If I take a Rhino, my Chosen can't infiltrate". Pg 75 of the rulebook covers this by saying "If a unit with this ability is deployed inside a transport vehicle, it cannot infiltrate." So, from this we can see that the unit does not always have to be deployed within it's dedicated transport, if it has been allocated one.
So, how does this help us? Well, firstly, there is the obvious outflanking move; pg 94 confirms that despite the previously stated rule, infiltrators with dedicated transports can indeed use them to outflank. This will allow your units more freedom to move and more protection when outflanking.
Then we have the Dawn of War deployment; only
Troops with infiltrate may use their ability in this deployment - our Chosen have to come in from reserve like everyone else, so again, a Rhino can ensure they can be deployed swiftly and safely.
OK, so what about Pitched Battle and Spearhead deployments? If you are deploying first in either of these scenarios, you could deploy the Chosen's empty Rhino, but keep your Chosen ready to infiltrate. Once the opponent has deployed, you can weigh up your options (especially if your opponent knows you have some infiltrators to deploy) and decide if there is anywhere that the Chosen can deploy effectively using their ability. If there isn't (a cany opponent may make sure there aren't any close areas out of LOS), then you can always deploy the Chosen within 2" of the hatches on their Rhino. With the first turn, they can then embark and move off almost as if they had been deployed there all along. If you wanted to take this a step further, the Chosen could deploy next to
any transport vehicle, be it from another Chosen unit, another CSM Troop rhino or even a Land raider. This idea may not work so well if an opponent seizes the initiative, but even clustered around the back of a Rhino, I bet your chosen would have more protection than being infiltrated up close and personal.
Equally, once a regular opponent has seen you do this a few times, you could then use the rhino to deploy in a refused flank formation: that is place the chosen Rhino in one place, so he deploys to counter that threat, but then infiltrate the Chosen onto the other flank, leaving him facing off against an empty tank. The beauty of these tactics is that you can make these decisions mostly after the opponent has deployed, giving you flexibility.
Deploying second in the above mentioned scenarios allows you more freedom to place your Chosen in their rhino in response to the enemy deployment. You can also keep your Chosen out of their Rhino to try and deny any enemy infiltrators space to operate - if you loose the roll to deploy infiltrators first, you can then still fall back to deploying the Chosen near their rhino, as above. (This would work equally well if you were going first, but the enemy had infiltrators too)
With Seize Ground and Capture and Control missions, extra empty rhinos can also be used as mobile cover, 'spare' transports moving alongside other CSM units and have the ability to contest objectives. Plus the more vehicles you have, the more anti-tank weapons have to think about splitting their fire.
One possible downside to these extra transports are they give up kill points in Annhilation missions. However, I believe that they could still be of some use just for the manouverability aspect, especially in Dawn of War deployments. You could also leave them in reserve (seperate from the Chosen unit), and hope they don't arrive. Even if they do, just try and skulk around with them

.
Still this downside is just a 2 in 9 possibility, (I'm discounting the DoW deployments there) and still doesn't matter if you kill more of the opponent's units than he does of yours!
If you want to take Chosen as a 'bodyguard' unit for your Chaos Lord, again they will loose their infiltrate ability should you do so, making the Rhino more worth while. Another sneaky tactic would be to just deploy a Chaos Lord all alone, (but next to the Rhino) making him a tempting target, then infiltrate the Chosen to be his bodyguard, and embark the whole lot in the first turn.
So now all I have to do is paint more Rhinos!