Some make working through the scenarios easier than others. For instance, Icaras flies - a useful skill which allows him to scout for you. He can escape over rivers and such while troops chase him, causing diversions. Some heroes have abilities which hurt friendly units, such as Hercules' earthquake and Orion's rain of fire arrows. These build up when you find objects lying about in scenarios, and casting costs can be reduced by certain objects.
Heroes also affect the war party.
Orion, for instance, gives bonuses to archers. All in all, heroes are intriguing and add complexity to the game. In the Minotaur's Maze, ghosts of those who tried to kill the Minotaur attack us from all sides. And, some juicy apples waiting for us. Heroes will not automatically join your party.