Hearthpwn

Always keep Backstab, SI:7 Agent, and Swashburglar.
Against Shaman, always keep Shadow Strike to deal with Totem Golem.
With coin or Preparation in hand, keep Edwin VanCleef.
If the rest of your hand is pretty good, keep Tomb Pillager.

Always keep Swashburglar, Tomb Pillager, and Azure Drake.
If the rest of your hand is pretty good, keep Gadgetzan Auctioneer.

Always keep Tomb Pillager and Swashburglar.
With coin or Preparation in hand, keep Edwin VanCleef.
If the rest of your hand is good, keep Azure Drake, Backstab, and Shadow Strike. 

The Rogue hero power is unique in that it can be used to make two separate 1 damage attacks, offering the most tempo out of all 9 hero powers. For example, if are playing against a Paladin, a single dagger deals with 2 recruits, meaning one Rogue hero power traded with two Paladin hero powers. The cost, of course, is that you take face damage in the process. Additionally, since the dagger is a weapon, unlike with other hero powers you invest mana on a single turn and reap the benefits in the following turns. All other hero powers have immediate, single effects that don't require the player to think many turns ahead. This is why using your hero power on turn 2 as Rogue is usually a fine play, while in other classes it is usually a bad one. It's also why managing the hero power optimally is not easy. 

The trick is to know when you should attack your opponent's face with the dagger and when you should hold it for future turns. If you simply hold onto the dagger and never attack with it until you have a minion to kill, you will often find yourself over-riding a charge of the dagger when you hero power again, wasting damage that could have been dealt to your opponent. The basic rule is to ask yourself if you will have 2 mana remaining the following turn to re-dagger. If you think you do, make sure your dagger doesn't have 2 durability going into the next turn. Since you can attack only once a turn, you need to have only 1 durability so you can attack and use up the dagger, then equip a new one.

However, there are exceptions that depend on the situation and the match-up. For example, if you are in a position where your health is really low and you can't afford to take damage, go face with any remaining charge(s) of the dagger to kill the opponent as quickly as possible. If you suspect your opponent is running Harrison Jones, never leave your dagger at 2 charges. This means that if you predict you will hero power next turn, use up the dagger completely this turn so that you can equip a new one next turn and attack again, setting it down to 1 charge. If you are close to killing your opponent within the next few turns, go face often as possible to maximize your chance of having lethal damage. There are too many different situations to list, but the main idea is to think ahead a few turns ahead when managing the hero power. This will become much easier and instinctive after playing many games. 

Backstab: removes an annoying minion for 0 mana, activates combo for 0 mana, draws a card with auctioneer for 0 mana. 

Preparation: play any spell in the deck for free, best used with auctioneer and edwin. 

Sinister Strike: 8 damage for 1 mana with Malygos. Gives you the burst to win against control decks. 

Swashburglar: Gives the deck a turn 1 play, can be used with turn 2 dagger to kill 2 health enemy minions. Also not a terrible draw in the late-game unlike other 1 drops since it gives you another (possibly late-game) card.

Eviscerate: 2 mana deal 4 damage is very good for tempo. It can be used as removal or face damage with Malygos. 

Sap: Removing an opposing a minion and playing your own in the same turn; the ultimate tempo gain card.

Shiv: Can be used as removal or face damage with Malygos. Helps cycle through the deck to find the cards you need. 

Edwin VanCleef: Game-winning against decks without hard-removal, as you can easily make a huge Edwin by combining coin and preps. A simple turn like prep+eviscerate+edwin removes a Totem Golem and plays a 6/6 for 3 mana. 

Fan of Knives: The only AOE remaining in the deck after the nerf to Blade Flurry. Can be underwhelming by itself, but great with spell power. Thalnos+fan or drake+fan can clear a board of totems. It also draws you a card, so in match-ups where it's unnecessary, you can simply cycle it. 

Shadow Strike: Removes Totem Golem, Thing From Below, Azure Drake, Fire Elemental, Emperor Thaurissan, and many other popular cards very efficiently. Can be played for free with prep. 

SI:7 Agent: Key to handling your opponent's early game minions. The combo effect can be easily activated with coin or backstab. Backstab+SI is a great way to kill that pesky Totem Golem or any other 4 health minion, while also developing a 3/3. 

Tomb Pillager: One of the best 4 drops in the game. The coin is best used to activate combos, draw more cards with auctioneer, and fit in more spells with Malygos. 

Thalnos: An auto-include in every deck that desires cheap spell damage. Thalnos+fan of knives is effectively a consecrate that draws you a card for 5 mana or 2 mana with prep. 

Barnes: Has a lot of good outcomes in this deck, including Malygos, Auctioneer, Thalnos, Drake, Emperor, and Tomb Pillager. Sometimes when you are completely behind on board, you can roll Malygos and clear the board with fan or kill your opponent with burn spells. 

Azure Drake: Spell damage+card draw.

Emperor Thaurissan: Helps you fit in more spells with Malygos or Auctioneer. Just a great card in general when you have a large hand, which you often do with this deck. 

Gadgetzan Auctioneer: The primary draw engine of the deck. When used alongside coins and preps, you can clear the opponent's board, develop a 4/4 that must be killed, and draw a bunch of cards. 

Malygos: Your primary win condition, especially against control decks that have a lot of heal. It can also be used to perform some insane board clears with backstab and fan of knives. 

The key to playing any deck is identifying your win condition based on a specific match-up.

Against control decks with heal, like priest and murloc paladin, your win condition is to discount malygos and burn spells with emperor thaurissan so that you can kill your opponent in one turn, not giving them a chance to heal. Knowing some of the basic damage combos is important in accomplishing this. Malygos+sinister+sinister+evis+evis is 34 damage, which is more than enough to beat most decks in a single turn. Malygos+sinister+sinister+evis+shiv is 31 damage, which is also enough to OTK most decks. Since this deck plays 2 copies of all these spells, you can afford to use a few of them for board control rather than face damage even against control decks. 

 Against aggro decks, you need to simply prioritize surviving until you can close out the game yourself. Use whatever method necessary to take board control and avoid taking damage. Malygos is basically a dead card, since you will never have time to play it, but your other minions should be big enough to give you the game should you make it to the late stage. 

Against midrange decks, your win condition is to take board control, beat up your opponent with your minions, and eventually finish him off with spells, often with Malygos but not always. Your cards like backstab, SI, prep, eviscerate, etc. all give you a good tempo advantage that helps you take the board. The trade-off for massive tempo is using a lot of cards. For example, prep+evis+edwin is a great turn tempo-wise, but you just used 3 cards on turn 3. Unless you can maintain sufficient card draw, you will simply run out of steam. This is why it's important to save your coins and preps for Gadgetzan Auctioneer if possible. Don't be afraid to drop Emperor Thaurissan whenever you can. Your win condition isn't the full OTK, so just discounting your hand and being able to play more cards the next turn is good enough. 

Backstab + SI removes a 4 health minion, such as Totem Golem, and develops a 3/3 minion, all for 3 mana. Since backstab is so key to activating the SI agent's combo in the early game, if you have backstab and SI in your opening hand, you should save the backstab until turn 3 to combo with the SI. For example, if your opponent plays a Mana Wyrm on turn 1, instead of backstabbing it and hitting with dagger on your turn 2, simply dagger up and pass. The next turn, if your opponent plays Sorcerer's Apprentice you can backstab the apprentice, deal 2 damage to the mana wyrm with the SI combo, then finish it off with your dagger. If you had used the backstab on turn 2, then your SI would just be a 3/3 on turn 3 since its combo cannot be activated. 

In midrange and control match-ups, tomb pillager is an incredible asset. If you are on the coin, you can coin out tomb pillager on turn 3. When it is killed, you get a coin, which you can use to coin out an azure drake on turn 4. In this way tomb pillager makes your curve very flexible and provides great tempo. However, the coin is at its best with Gadgetzan Auctioneer; just playing the coin draws you a card since it's a spell, and the extra mana it gives you can be used to fit another spell, drawing you yet another card and pushing the board state further in your favor.