Well, I've played both classes, so here's my opinion. Long post incoming, run away now.
PSIONS:
Overall, it's a somewhat weaker-than-average class. They don't get the massive number of spells per day that a Sorcerer gets, and they have limited spells known. They're forced to specialize more than any Wizard, thanks to the stat-based disciplines. Their save DCs tend to be lower since they can't afford to pump one stat at the expense of all others. Their damage powers stink (no scaling with level, very few area spells), although there's a new page of powers up at the Mind's Eye today that has some really nice stuff.
If you want to be a fireball-throwing artillery piece, avoid this class at all costs.
That being said, they're really fun to play, because they're the most flexible spellcasters. No need to keep track of lists of spell slots, just have a calculator handy.
They get 4+INT skill points, and each variant has its own skil list, so you have far more non-magical capabilities than a Wizard. They get more use out of the physical stats than normal spellcasters; in fact, you could make a Psion with lousy mental stats and he'd do just fine.
Each of the six types is very distinct. I played a Shaper (INT), because I liked the Astral Construct powers, but Telepaths (CHA) are probably the strongest. But that's just my opinion; all six are good.
They can cast in armor without a problem, so one Psion level is better for multiclassers than Sorcerer or Wizard would be. Since they don't use components, being Held or Silenced doesn't stop them from casting, and they don't need material components or foci for practically anything. (Downside: it's practically impossible to hide a power, since there are 5 different displays and the metapsionic Feat only covers one at a time)
You can use Psionic Feats, many of which are useful for other classes (Inertial Armor for would-be Monks, for example).
Psychic combat is both a blessing and a curse. In a low-psionic campaign, having extra "stun" powers can be very useful. But, if the DM throws psionic enemies at you, you become far more vulnerable than the rest of the party.
If you can convince the DM to let you use either the Mind's Eye (WotC website) or If Thoughts Could Kill / Mindscapes (outside splatbooks) to compensate for the lack of an official psionic splatbook, they become a very good class. The Mind's Eye has a ton of great powers, Feats, and PrCs, while ITCK and such alter the class to allow "secondary disciplines" which REALLY help with that whole forced specialization thing.
PSYCHIC WARRIOR
I'll be the first to say this class borders on the unbalanced. It's a very good class, even without any sort of splatbookiness. You get most of the Feats of a Fighter, and Weapon Specialization. So, at level 8, a Psychic Warrior has 4 Fighter Feats and Weapon Specialization, while a level 8 Fighter has... 5 Fighter Feats, one of which will almost always be Weapon Specialization. Not much of a loss there, is it?
d8 HD and 3/4 BAB are Rogue-level, sure, but the powers bring you back up to Fighter-level effectiveness. Most of the Psychic Warrior's best powers are defensive in nature, so while you're not going to be the damage-dealing machine of the party, you WILL be very difficult to kill, and you'll have all sorts of fun abilities. In a way, you're a lot like a Paladin.
On the spellcasting side, their power list is a little lacking, but it has enough good stuff to keep you happy until you get to the level 5 powers (which really bite, IMO). And, since you have full caster level (like a Bard) you don't run into many of the problems Rangers or Paladins have. On the other hand, you only get a dozen or so powers, so you have to choose VERY carefully.
You're a lot like a Bard, except you can use any martial weapon, have more HP, tons of Feats, and you don't need to raise CHA. Okay, you're not that much like a Bard then.
The biggest problem for the PW is he just doesn't have enough power points. You need points to activate Psionic Weapon and Deep Impact-style Feats. You need points for all those defensive powers you put on before combat. And then, you need to save enough reserve points to keep your psionic Feats intact. To make things worse, PWs are the only spellcasting class that doesn't get any bonus points/spells for having a high primary stat.
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As for "how to build a Psychic Warrior", it's hard NOT to make a Psychic Warrior effective. Almost any strategy that works for a Fighter works for a PW. They can also mimic Bards and Monks pretty well, simply by picking different Feats or powers. It's hard to make a Smackdown-style PW, because they don't get many offensive powers.
I'll just give the Feats and Powers mine has right now (she's a Barbarian 2/Psychic Warrior 12 who uses a Glaive):
FEATS:
Improved Initiative, Power Attack: the basic stuff
Psionic Weapon and Deep Impact: you have a Rogue-like BAB, but no Sneak Attack to offset. You need a damage enhancer and this really helps. Don't expect to use Deep Impact much, but it's great when you face a Dragon or something and need one good hit.
Combat Reflexes, Stand Still: great combo with a reach weapon, since it causes bad guys to freeze at places where they can't do much
Speed of Thought, Psionic Charge: Eh, it's fun. My base move is 50', and I can charge around corners or other bad guys.
Blind-Fight: Your mileage may vary. I like it.
Psionic Equilibrium (Mind's Eye): spend 2 talents for a +2 unnamed melee attack bonus for 1 minute. It was either this or take Cleave (yawn).
POWERS: (in the order I took them)
0: Catfall, Detect Psionics, Bolt
1: Vigor (post-errata version), Call Weaponry, Combat Precognition
2: Vigilance, Reach (Mind's Eye), Combat Prescience
3: Improved Biofeedback, Displacement, Ubiquitous Vision
4: Inertial Barrier, Dimension Door, (Polymorph Self is next)
The great thing about the Psychic Warrior power list is how many of their good powers last 1 hour/level. For example, I can cast Combat Precognition, Vigilance, and Improved Biofeedback at the start of the day and have them last 12 hours.
If I have time before the fight starts, Vigor and Combat Prescience (last 1 minute/level) and Inertial Barrier (10 min/level). Reach is an auto-quickened power like Feather Fall, so that goes off in round 1 if I think I need it; I had Animal Affinity on my spell list until the DM let me trade.
