In a climactic fight that ended a story arc, my party brought down a Grey Knight Terminator. Now the Chaos Marine wants to pick up his weapon. I'm wondering, should he suffer in any way for touching a weapon so obviously and potently holy? He has 35 CP, so I figure it should hurt him somehow.

Actually unless they have changed lore it is not necessarily going to hurt him if he picks it up.  A nemesis force weapon is psychically attuned to the grey knight so the weapon won't work for the chaos marine.  However without the psychic powers of the grey knight to power the weapon, a nemesis force weapon may be harmless.  The question I wonder is can a nemesis force weapon be corrupted in a way so that it retains some of its original properties.

 I would say that if the character in question is a sorcerer, that a ritual could be cooked up to corrupt the Nemesis weapon to serve Chaos. Make it a Best-quality force weapon with the Nemesis force weapon rules from the Daemon Hunter book, and call it a day.

I'd also say that the ritual should probably convey the Enemy (Grey Knights) talent as well.

There is some bit in the Daemon Weapon section that is about corrupting a Sancified weapon [Nemesis weapons are sanctified] and getting a bonus for it. You could always take that route and make it into a Daemon Weapon.

DJSunhammer said:

Indeed. This is probably the best use for a sanctified weapon in Black Crusade - for the satisfaction of defiling a weapon of the corpse-Emperor's lackeys, and because a sanctified weapon makes a more effective prison for its new daemonic inhabitant.

Make it a high quality force weapon that requires a ritual to attune to. If a non-psyker wants to use it, perhaps require some artificing to make it into a high quality power weapon. I also really like the idea of corrupting it. That is very much what Black Crusade is all about.

Let us not forget that a Nemesis force weapon is stll a fearsome and lethally well crafted weapon even if you subtract the extra hit of psychic might from a grey knight.

Absolutely. Capturing such a  weapon from the hated Grey Knights and corrupting it to his own purposes is a superlative tribute to chaos and a sublime trophy.