Yeah, weaponry like Grav does eat WK's up pretty quickly, so I'd say it really depends on your meta. If there's tonnes of Grav centurions or Grav bikers about, you could find better options. If there's not... You're in business.
Wraighknights truly are sponges for 'regular' heavy weapons fire. Even though a handful of lascannons and krak missiles *could* kill it in the right circumstances, it is still multiple heavy guns that are not eating all your Raiders and Venoms.
As long as it touches cover (I believe this works for GC's right?), its getting that 5+ cover save anyway, followed by FNP 5+, so it is even possible for many traditional shooty lists to not manage to kill it in a round or two of shooting, even if it is the primary target.
It's not really balanced very well, because against someone like IG, DE or Orks, they're unlikely to do anything to it for the first few turns, whereas against some Eldar, Tau or Space Marine lists, as Xm0shcryptX says, your first action with it might be literally removing it from the table.
[EDIT] As for Eldar options, you can rock some pretty cheap Dire Avengers in your troop slot. They can ride Wave Serpents, which alone can win you the game, or hitch a ride on some Fast Attack venoms (Dire Avengers and Venoms are great together).
You can play simply two naked units of 5 in either case, so you'd need only buy a single box set for your troops.
You can also get Eldar jetbikes, which at the moment are completely over the top. They're incredibly agile, fast, shooty, and pretty tough as well.
As for HQ, you're spoilt for choice. Lots of Dark Eldar players love including an Autarch for his reserves manipulation. He can hitch a ride in a DE transport next to some Blasterborn or a combat unit like Grotesques/Incubi. A banshee mask rules here.
Of course, Farseers are crazy good, too, because of their psychic abilities. Everyone loves twin linking and other mischief.
Furthermore, both of these options can take wings or a jetbike too, so you can pair them with either Eldar Jetbikes themselves, or with Reavers. Reavers and Autarches are pretty good together.