Dain and Gimli are my favorite heroes.
Their Epic Rampage ability allows them to tear through units.
Gimli's Baruk Khazad is also deadly.
Floi's ability to nullify an enemy formation's special rule is very useful.
Further he is rather inexpensive.
Balin is also rather cheap.
He has lots of abilities and is a great leader for small games.
Drar's Hunters is a great formation.
They have a high fight, shoot and strength.
Furthermore they can ambush your foe, which is particularly important because of the dwarves slow speed.
Durin's Guard are real killers.
With their high strength and fight values, and goblin and orcbane they tear through the enemy.
Their downside is their high cost.
Murin's Guard are regular dwarf warriors.
Murin has several advantages over a dwarf captain.
The first is that he has more might.
He also has pathfinder.
Most importantly he can give the formation a bonus to its defense.