The avatar is an "independent character" which means it can’t be targeted if it is more than 6" away from another viable target. Independent characters can be targeted if they are the closest target, at short range (up to 12" as stated in the rule book on page 75). What this basically means, is that is possible to "screen" the Avatar with nearby troops but make sure that there are some in front of the Avatar.

For the Avatar to be useful it is necessary to get it into hand to hand as soon as possible. Of course the enemy will try it’s hardest to kill the Avatar by shooting at it while it races forward and this is the reason why it is good to take advantage of the independent character rule.

The Avatar is good for destroying tanks, dreadnoughts (watch out for the Dark Eldar Talos though) and medium level characters, such as Space Marine chaplains on bikes.

Unless you want your Avatar to lead a squad, I’d suggest that you keep the avatar more that 2" away from any squads so that you can pick and choose who you engage in hand to hand. It's a waste of the Avatar's talents fighting cheap troops because the squad the Avatar was in, got charged and assaulted.

Seeing your mighty Avatar fighting hoards of termagants or grots all game will drive you crazy.

Although the Avatar is powerful, it is worth remembering that high strength enemies (such as bloodthirsters, carnifexes or squads of ogryns) will cause the Avatar to take more armor saves than you will like. If there is a figure that has a power fist, in base to base contact with the Avatar, that figure should be singled out and killed as soon as possible.