Heroes are necessary for DT, but what good are each of them? Yes, I'm missing a few, but if I could find the stats easily I could comment on them. So this just includes the original core set and Cyclone/Seelowe expansions.
GENERAL: All heroes provide durability for their squads with their extra hit points.
AXIS:
Markus : Buy the monkey and his boyz. This is a package deal, no reason to split them up. Markus has 2x the hitpoints to tank for the extra damage dealing of the squad as they close. The squad makes Markus Fast and Markus gives them the extra CC attack action with Charge. In any case, Markus can only lead the Axis Gorillas and they can only be led by him. Just count 44 points spent or don't buy any of them. One interesting thing, since each fist has its own weapon line, if they are adjacent to two units then some attacks can be split, although I probably wouldn't recommend that unless one or both targets were walkers.
Manfred : Low end infantry killer with a bit of AT. Useful for any IA2 squad. His Assault skill allows a one turn burst of speed for his squad.
Sigrid : Again a generic leader. Usually slated to go with the Laser Grenadiers, but her Berserk skill and firepower can be equally useful to any IA2 squad.
ALLIES
Bazooka Joe : A generic leader, his grenade launcher ignores cover and Black Ops is useful for the entire game. Putting him with the BBQ squad isn't the best choice IMO because they have more than enough up front firepower at range 1 to be deadly on their own. He is better with the Gunners, Bot Hunters or Recon squads for that little extra umph he brings.
Rosie : Mainly useful for her hit points and Tank Head skill in support of a walker. Nice bazooka, but it is still just a bazooka. Again, the BBQ squad is so specialized and powerful that they don't need the longer range AT capability. Like Joe, she is better off with one of the other three squads, loaning a bazooka shot and her hit points.
Ozz 117 : Useful close range IA3 leader. His special ability works well with either IA3 rocket squad and he gives them a burst of range 1 punch that is nice to have.