I feel that I have been burned a lot on many of the advancements. I spent a lot of time saving up for something, like daemonbolt, only to find it quite worthless. I have just gotten to level 5. What is the consensus out there? Is it worth spending AP points on a veteran class of my favorite class or have some fun in other areas, like getting the highest level armor?

Also, how does the veteran stuff actually work? Will I be able to use it often?

Just get one veteran of whatever class you like the most.

It's worth playing around with but don't expect anything mindblowing from them.

You get two uses of a veteran character per map, 3 on fortress maps. After that they are unusable. I've found veterans to be largely irrelevant - the extra 400 LP doesn't go that far and since you get so few uses of them they aren't reliable. I'd suggest purchasing other upgrades before picking the veterans. I've gotten a lot more use out of daemonforged armor for chaos than any veteran has ever given me. The iron-halo equivalents all cost 400-600 LP so that's really all you get or a slightly fancier weapon. I chose the veteran raptor first and didn't see any difference. I finally settled on using a GA vet with a sigil of nurgle or tzeentch (i switch it from time to time). I don't capture points too often but figured having a slightly tougher character to do it was my best bet.

If you have a class you like but always feel like you're missing a few toys that would make it fun by all means get the upgrade but prepare for frustration when he gets insta-killed by a teammate shooting plasma everywhere. Or just build a character that looks cool and run around with it from time to time.