Things get really interesting when he goes into phase two (yes, this boss has phases), which seems to happen at a certain health. The hero power becomes a no-strings-attached Shadow Madness for 8 mana, meaning you don't want to play a lone, powerful minion. Flooding the board isn't wise either because Kel'Thuzad packs Twisting Nether, so don't overextend.
Make sure to engage Kel'Thuzad in some conversation when you play. He has a response for each emote and seems to have a different match intro for every hero.