I'll start with a Russian list that I'm currently using. The big center-piece is a veteran IS-2 with pintle HMG. This Heavy tank is bristling with weapon systems that can lay down the pain, but at just over 400 points, this bad boy is a lot of points. So after your behemoth tank, you need infantry. This list uses four units of Soviet scouts, two squads with SMGs, two with Rifles. The idea is to use their forward deployment to hold the enemy back until the IS-2 and other units arrive to reinforce them. The scouts can also start targeting enemy anti-tank assets as they are halfway across the table already.
Next is a regular junior lieutenant and an infantry flamethower team in a jeep. The flamethrower gives you another super offensive unit to remove enemy squads incase the IS-2 gets neutralised early. Next is a unit of tank riders to hitch a ride on the IS-2. You already have the tank so it's like a free transport. Lastly is the free Soviet squad and a sniper team to round out the list and to try and remove enemy observers and heavy weapon teams. This list manages to fit quite a few squads of veterans in with a big expensive tank. It lacks back-up methods of removing whole squads outside of the flamethrower and assaults if the IS-2 is killed but it's still proved to be an effective list.
The next sample list I haven't used yet but am keen to try is a British one using a Churchill AVRE. This Heavy tank with heavy howitzer is only 290 points at regular. It's slow and can't fire at long range but 36" range is still efficient in the standard size game of Bolt Action and this list still has heaps of points left for the rest of the list. First is a second lieutenant and offsider plus the free British artillery observer. Then four units of 10 regulars with an SMG and LMG each provides a solid block of infantry to take objectives.
Now to provide some extra punch is a 25-pdr and a heavy mortar. Both these weapons can do some hurt on both infantry and armoured targets. Lastly a truck provides some mobility for a squad of infantry, allowing them to move about. The AVRE is going to attract heavy weapon fire but the mortar and 25-pdr can help provide backline firepower. If enemy anti-assets are light or neutralised early, the AVRE can also be used as mobile cover for a squad of infantry as they advance on an objective. With it's slow speed and short range you'll need to keep the AVRE rumbling towards the enemy. It's slow speed can actually be beneficial in ramming buildings as you must move at at least run speed which is only 7-12" incase you end up getting close in.
My last sample list is a German list using a Stug 33B. Another Heavy tank with a heavy howitzer at 310 points. With a heavy howitzer to delete enemy infantry, you now need a lieutenant with an offsider and some infantry. Sadly with Volks Grenadier no longer being the steal they were, you can't use them to offset the load of points you just dumped in your Stug. So instead I've gone with three large squads of 10 regular rifleman. This is a decent sized base for holding objectives.
Next is a regular Nebelwerfer to help deal out some big HE with the Stug 33B. Then to add some more focused firepower, I have two units of 6 assault engineers from the additional units pdf. One unit has 3 SMGs and a flamethrower, while the other has 3 SMGs, 2 Panzerfausts and a Sturmpistole. Both units can help deal with enemy armour if needed or kill enemy infantry. They are also both mounted in Horch Field Cars to help them zip into position.
So there you go, three sample lists on how I would go about using big heavy/super-heavy tanks. I have aimed at using the more effective vehicles capable of big HE to try and offset their costs, while still keeping a decent infantry base for securing objectives. I didn't hit on the US as their options for big tanks are pretty limited and a French heavy tank list is best done by the experts like Patchimus. Old Man Morin has also discussed his own Tiger I list here, although keep in mind that was pre-Volks Grenadier FAQ changes.
If you'd like to talk about these lists or in fact your own big tank list, join me on the forums.