In WotR he is a good option for leading a Formation if you have the points to spare...but he's nothing better than a "captain". In SBG I have found him less valuable. Wild Wargs in both game systems are affordable, fast and effective combat models, and I really enjoy playing them in large numbers. Having a Hero in their Formation in WotR really does help and I've found he doesn't always attract the negative "anti-Captain" attention that can show up in WotR...probably because he doesn't stand out as much.
But to expand on this, as Hero of Gondor posted Druzag is a better choice for leading your army I believe. I've been really hacked up by his Spells of Ruin (
) and his ability to call forth those extra units. Having a couple companies of Wild Wargs or Giant Spiders dropped behind your Formation when you've already committed to a frontal attack on someone can really ruin your day.
The Spider Queen is a good model but I wouldn't put her in the same class as the Warg Chief in WotR. She's an independent Formation, he's an upgrade. If you can only put the points to one or the other the SQ is almost always a better option, but they do not fill the same type of role.