We did a Halloween level 5 adventure with characters the DM made, consisting of mostly classes that were new (to the party). This meant we had a monk, an assassin, a psion, a swordmage, a warden, a hybrid cleric/paladin and an artificer. The situations weren't ideal (the first fight started with the group tied up and waking up from the effect of a poison, the second fight was a swarm of minions) however the first fight did give the assassin an opportunity to shine.
The fight was inside a tavern, so a lot of the terrain was blocked by tables and chairs. This meant none of the melee guys were able to get to the boss (coupled with the fact that they had to get untied, on their feat and get their weapons). The assassin was dropping shards on the boss while teleporting around to get the weapons, before finally going insubstatial, getting next to the boss, and unleashing 4 shrouds at once with a daily attack, followed by an action point into anothe attack and finished the boss off in a single turn (the boss had only recieved a bit of damage earlier from a ranged attack). It's an interesting class, but it requires group cooperation to make maximum use out of him. You don't want to waste the shrouds by killing his target ... but at the same time, you don't want the party to suffer because no one is attacking an enemy just because the assassin "called it".
It does do okay damage, but one of it's big benefits is really in the mobility department. It's a bit like a fey warlock I guess, in terms of the teleporting, but you have better control and depending on power selection you can have a mix of melee and ranged attacks. I'd say mix feylock with avenger and you get a bit of an idea of what the assassin is like.
Edit:
Re: Davachido's question
The assassin is the first DDi exclusive class. At the moment, there is no intention for assassin stuff to show up in any of the books.