"A ship in port is safe, but that's not what ships are built for."
Types of Vehicles
Most vehicles can be assigned one of four categories. These aren't the categories in the book (tank, skimmer, walker, etc), but ways of thinking about them.
First, there are transports. Transports serve to increase the mobility in your army, while simultaneously providing protection for the troops that they carry. The Rhino troop carrier, the Ork Trukk, and the Tau Devilfish are all examples of near-pure transports. They may have different characteristics, but they're all lightly armed and carry soldiers. They're all also dedicated transports - that is, you can only purchase them with a squad that they're meant to carry, you cannot just buy one and put it in the army separately.
Second, there are weapons. These can either be close-combat monsters, such as a Space Marine Dreadnaught or a Witchhunter's Penitent Engine, or long-ranged artilery, such as the Imperial Guard Basilisk. They can be huge, massive tanks like an Imperial Guard Leman Russ, or small, fast weapon platforms, like an Eldar Vyper, or Ork Wartrakk. But, the one thing they have in common is that they're used to directly attack the enemy.
Third, there are hybrids. Transports that pack enough firepower to be threats even when unloaded. Marine Razorbacks, Eldar Waveserpents and Falcons, and Landraiders all fall into this category.
Finally, there are other. Yup, it's a catch-all category for the handful of vehicles that really aren't transports, or weapons, but serve some other role on the battlefield. The Necron's monolith is one of the few examples that comes to mind, because while it can attack the enemy, it's primary threat is that of bringing other necrons back to life and teleporting them around the battlefield.
Vehicles as Transports
Using vehicles for transportation can add an extra degree of mobility to your army. It can also provide more fragile troops with some degree of protection as they advance up the field. Even the weakest transports can ignore a lot of small-arms fire that would otherwise hit your troops. However, that doesn't mean you can just charge them straight at the enemy lines and expect everything to be ok.
Most transports have fairly weak armour for vehicles. Sure, it'll keep your troops safe from small-arms, but armour 11 can still be destroyed by a Strength 5 shot. Lucky shots happen - and the more shots you take, the more likely one is to be the lucky one. As such, transports should do everything they can to minimize the amount of fire they're taking. Moving between one piece of cover and another may take you an extra turn to get your troops where you want them, but if it give them a better chance of getting there in one piece, it's worth it. And although most transports will have a defensive weapon (or 2), getting a shot with that weapon isn't worth risking the lives of all the troops inside. Use it if you can, but don't plan your moves around taking that shot.
Almost all the risk associated with a transport comes when the troops are still inside. Few pure transports are expensive points-wise, to the point where you will be horribly upset if they are destroyed after getting their payload delivered safely. However, a transport that is full carries the risk of losing the entire squad to one lucky hit. Any penetrating hit will force your troops to abandon the vehicle, and if the transport is destroyed, they'll even spend a turn entangled, sitting ducks for enemy fire or assault.
This also means that you should take great care to deploy your transports out-of-sight. Nothing is worse than not getting the first turn, and then losing two transports, and all the troops they carried. If you cannot ensure that your transports will be out-of-sight, then deploy your troops behind the transport. They can hop in before the vehicle moves, but if it's destroyed before your turn, you didn't lose the troops too.
One possible solution to this is called target overload. If you bring one transport, then all your opponent's anti-vehicle fire can focus on that transport. But, if you bring 4 transports, they're unlikely to have enough anti-tank weaponry to stop all four. While you may lose one or two, the other two get where they're going and unload their troops. Obviously, this works best if unloading those troops can either destroy, or tie-up the enemy the turn they jump out. While open-topped transports are more dangerous for their passengers, they do allow troops to assault immediately after disembarking. Zipping an opened topped transport straight at the opponent's lines, hopping out and assaulting will block his line-of-sight to the rest of your army in quick fashion.
After dropping off the men (or sisters), what can you do with your now empty transport? The obvious answer is to keep it around, preferably out of sight, so that if you need to redeploy the unit, they can jump back in and go somewhere else. If the transport is classified as a Tank, you can cause headaches for your opponent by driving it straight at his troops, tank-shocking them. At worst, they'll blow up the empty transport. At best, the enemy troops will fail their morale check and start falling back. As long as you keep chasing them with the transport, they'll be unable to regroup. Do note, however, that tank-shocking fearless troops won't get you far, and Space Marines will always be allowed to try and regroup, so tank-shocking these types of troops will be less effective.
You can use an empty tank as terrain. Non-skimmers block line-of-sight. So, leave your transport between the now-deployed troops, and some of your opponent's troops, and he won't be able to shoot you with those troops. If done with enough transports, you can effectively cut your opponent's army in two, with a line of transports between them. If all your units deploy on the same side of that wall of transports, you are then able to concentrate all your fire on half of their army, and that goes back to the local superiority discussion.
Skimmers don't block line-of-sight (although some upgrades like landing-gear may allow them to land and do so), but they do prevent enemies from running through them. You can park (float) a skimmer between your shooter guys and your opponent's assaulter guys, allowing you to shoot under the skimmer, while he has to take the long way around it in order to assault. Done with two or three skimmers, this can prevent most assaults, while giving you two or three turns of shooting at the assaulters.
Finally, nothing says you ever have to deploy your troops. Many transports have some way to allow troops to fire from within the vehicle. All open-topped transports allow all their passengers to fire. Many imperial vehicles include hatches and gun-ports through which passengers can fire. By equiping a small number of troops with meltaguns and leaving them in a vehicle, you allow the vehicle to move a full 12 inches and then fire two meltagun shots (which will then miss...) You rarely want to do this with a large number of troops, as there are limits to how many shots can be fired from within the vehicle, but a five man squad with 2 special weapons and a transport can create a nice mobile threat.
Vehicles as Weapons
Vehicles used as weapons work much the same way as troops used as weapons. You want to find the best locations where they have some targets, with as little return fire as possible. One place that vehicles have a large advantage over troops is that they can usually move and then fire, even with heavy weapons. That means that you can deploy them behind something, and then move them to aquire a target and still fire. An infantry heavy-weapon team is either deployed with the chance for your opponent to shoot it, or must spend a turn moving to get a shot (whereupon your opponent will have the first opportunity to shoot at you anyway.)
Vehicles can also carry much larger weapons than infantry. The heaviest guns carried by a space marine pale in comparison to the Battle Cannon on a Leman Russ or Defiler.
However, as with transports, one lucky shot can kill even the biggest tank. Every glancing-hit result will prevent your vehicle from firing the next turn, and will outright destroy your toy seventeen percent of the time. So, you want to expose your vehicle to as few shots that can hurt it as possible. Sometimes, that's easy. If you have front armour 14, and the strongest weapon that your opponent has left is strength 7, simply keep your nose pointed at them and you're invulnerable. But, more often, that means using terrain and range to enable you to fire at select targets, while limiting the amount of incoming fire you'll have to face. With enough dice being rolled, anything will blow up. If you prevent your opponent from rolling those dice in the first place, you remain safe.
This sort of vehicle creates a dilemna for you. Your standard hybrid vehicle uses less gas than... uh, wrong article. Try again: Your standard hybrid transport will carry less troops than a dedicated transport (although there are exceptions). It will typically carry less weaponry than a dedicated weapon (again, there are exceptions - this category is full of them). But, full of troops, it will present the biggest target to your opponent.
Imagine you're playing against a Space Marine army, and they deploy a Rhino (Transport), a Razorback w/ Twin-linked Lascannon (Hybrid transport), and a Predator w/ twin-linked lascannons (Weapon) against you. Which one do you shoot? For me, the decision is obvious. If I shoot the rhino, I can reduce my opponent's mobility, and possibly pin some marines. If I shoot the predator, I can reduce my opponent's firepower. If I shoot the razorback, I accomplish both.
Because of the increased target priority on a loaded hybrid, you want to empty it as soon as possible. In fact, sometimes, you will want to deploy it somewhere completely separate from the troops that it was purchased for. You can use the vehicle to harrass and attack enemy positions, while allowing the troops to capture and hold objectives. The best use for this sort of vehicle is to deliver the troops to an objective, and leave them there to hold (or lose) it, while continuing on to cause havok. Once a dedicated transport is unloaded, it severely decreases the opponent's need to shoot it; an empty dedicated transport cannot even hold objectives.
The army that won the team tournament at the recent adepticon did so with an eldar army that made extensive use of hybrid transports. By combining a large number of waveserpents with twin-linked starcannons and brightlances, with small squads of guardians who were dropped off at objectives, they forced their opponents to either go after the guardians and objectives, while the waveserpents shot them apart, or to go after the waveserpents (not easy, as they're Fast Skimmers), allowing the guardians to score victory points by sitting on the objectives. Notice the target overload approach here too. The entire army was mounted, so it stretched its opponent's anti-vehicle capabilities past what they could easily handle.
I can really only think of one example that I would consider neither a transport nor a weapon, and that is the Necron Monolith. It isn't a transport, although it serves a similar purpose with it's ability to teleport troops around. It isn't a dedicated weapon, but it can certainly inflict a lot of damage. Its true value seems to be as a utility tool, one that can repair warriors and relocate them, while serving as a fire magnet and distraction to the enemy. If the chief use of the thing is to distract the enemy, no wonder most common wisdom holds that the way to defeat a Monolith is simply to ignore it.