Hellborn is very effective at that level . Depending on COM (purple Torch and Toast are the best choices), this is a good basic Hellborn build :
Again, move points around for COM usage. I left it at level 36 : additional points can go into Embrace the Pain or Blood-Filled Guns.
Shields : adaptives, Neogenator, Flame of the Firehawk, Rough Rider depending on availability.
Grenades : anything elemental - preferably AoE like teslas.
Guns : same thing. Any elemental gun will do great, but those with splash will be better.
@paulothead has been leveling up a Hellborn Krieg - he may have some additional recommendations.
For Bloodlust :
I made that one level 42 just to show Thrill with the one point that it only needs. Further points into Strip the Flesh, Redeem the Soul and Salt the Wound.
Blister COM is my favourite for that.
Shields - same as above.
Grenades - Fastball, MIRV, anything with a big impact.
Guns - see this list for guns that will trigger Blood Bath.
Edit : @nobleprzy , I forgot to mention relic. A health relic is always my top choice for Krieg regardless of build.