Wren's Guide to Picking Heroes
Step one: read conquerer7's post for the good introductory data.
When it comes to choosing a hero, there are a number of factors to consider. If you pick a hero that doesn't match your play style, it can set you back pretty significantly in both time and resources. However, the choice is reversible. You can have 3 heroes (one alive, two dead) at any time. Plus, when you've really screwed up, you can delete a hero. Until level one, you can even reorder your hero's points.
For all players: 'Balanced' heroes are never a good idea. Trying to build a hero that is both offensive and defensive at the same time is to build a hero that's bad at both.
I'm a casual player, and I'm only involved in battles every once in a while, what should I look for?
For players that don't plan to either build up armies that number thousands or kill enough enemies to take a hero up to high levels, the individual statistics may be the best. So, offensive players should pick an offensive unit and level up its attack and defensive players should pick a strong defender and level it up.
Speed is a great bonus, but phalanx and imperian heroes have been used effectively. The cav heroes, while much faster, do cost more to revive.
I'm a superstar, and I want to make sure that my hero is up to par, what do I need to worry about?
Speed is the most important factor, period. Second most important is to use the def-bonus and off-bonus, as even 2-5% of a standard big army is way more than even 100 points to a hero's individual statistics.
Factors to think about:
Individual stats - Frankly, they don't matter at all. You will use the % bonuses and they're way more important than that other stuff.
Revival cost - A good thing to keep in mind with regards to the other picks. A high level, high cost hero is awful to revive. Some players will pick the most basic unit because of this. In combination with the first factor, you have a strong argument for a mace hero.
Speed - The killer. Use the fastest hero you have. You will get enough hero experience to give yourself serious % bonuses, so the hero's individual stats don't matter at all. Speed ensures quick transfers between villages, faster oasis capture, and quicker hero only attacks. A more subtle concern is movement speed. Timing is important in this game, and as long as your hero is top speed, you will be able to rein or raid with any speed in your army, and still include your hero.
I am certain that the faster hero is the best hero. EI, TT, Pally
Conveniently, they are also the cheaper cav units of each race.