Okay, I'll be the first to actually talk about the RACE, not just heroes:
Tier 1
The ghoul is great at dealing damage, not receiving, so try not to engage the enemy directly unless you are to quickly kill their hero. The fiend is also useful against the common grunt, and huntress.
Tier 2
Undead does get some neat tools, but nothing amazing. Gargs are the immediate unit that is available with great anti-air, but you also have fiends with web. Undead casters are powerful, but easily dispelled. Skeletons can win you the game if the enemy doesn't expect it, but unholy frenzy is not too useful. Most Undead units at this point are low in hp, and another 4hp per second drain isn't going to help. The banshee is an unused unit that is great if your army is facing lots of AoE with AMS or if they use smaller numbers of powerful units (COUGH, orc) with curse. It's great to know that curse cast on an entire army is like giving your entire army level 3 evasion, therefore increasing your army health by a third.
Finally you receive the Meat Wagon and statue, both being average. Statues are useful, but aren't needed, while the Meat Wagon is the worst of the 4 siege units, since Mortar Team can be buffed, Glaive Thrower comes early and the Catapult does the most damage, in addition to being produced at the Barracks. Shades are useful, but again, can be dismissed.
Tier 3
You gain the Abomination, Destroyer and Frost Wyrm. The Abom is probably the worst tier 3 melee unit as the Tauren does the best AoE damage, the Bear is versatile and the Knight is fast and cheap. It's a best meatshield for the Undead, which is made better with buffs such as frost armor, antimagic shield and coil. Disease cloud is not too great, and Cannabalize takes 33 seconds to heal around 500 health, which takes a LONG time. Not the best unit.
The destroyer is a powerful unit that works very well against Orc or Human. Not only does it get rid of those uber buffs like lust or fire, the roy gets an AoE attack that inflicts lots of pain. Roys also gain magic immunity which makes them even harder to kill, but can be coiled. I'd go as far as labeling them the best antimagic unit, but this is offset because they come late at tier 3, AND require an upgrade. A powerful unit, but takes a bit of micro.
Frost Wyrms however are the strongest units in the game, in regards to damage. Each attack is basically a level 1 Frost Nova, minus the mana cost. Teching there takes a long while however, and the resource cost is enormous. Remember Unholy Frenzy from necs at tier 2? Well it works great with Aboms and GODLY with Frost Wyrms. It's very easy to FF enemy heroes and claim the battle. Best Tier 3 air, awesome at killing heroes.
As for the rest of the units... Cripple is great on tier 3 air like gryphs or chims, and heroes. Against tier 3 melee however... you can try the road of banshee possession, which either results in massive losses or wins the game, in total being risky. Frenzy works GREAT with ghouls with their attack and movement speed boosted. Stone form requires a bit of micro, especially in large battles, but can be very useful.
Heroes:
DK
He's an excellent harasser, hero sniper and moves fast enough to avoid being killed. He also keeps your other hero(s) alive from enemy FF. He allows armies to move faster, which is a large advantage in bigger maps. The only weaknesses about this hero is that his ultimate is hard to use effectively.
DL
Though he is a melee hero, he should stay behind the lines and only come in when it's perfectly safe. Carrion swarm is best on massive numbers of units, especially workers. Sleep works great with surround and ghouls. You might want to focus on using ghouls, skeletons, aboms or gargs with the aura. The ultimate however is godly and can win the game for you.
Lich
A common 2nd hero, Frost nova is a great hero killer and instant AoE spell. Frost armor is only worth using if the enemy uses enough melee units, which means it works best vs Orc. Ritual allows both of these spells to be cast more often, so always pair your Lich with a RoN. The ultimate is better than the Dk's, but it's more effective on buildings as units can run off to avoid it.
CL
A slow hero at start, but he picks up speed. Beetles are great for scouting and a decent wall for fiends. At level 3, it's like getting 5 free units that are better than ghouls! Beetles work very well with Dark Ritual or Death Pact. The spiked armor allows the CL to tank better, and frost armor makes him even sturdier. If the CL is your 2nd hero, I'd say choose impale over beetles as by then, beetles will die too fast to be useful. Impale is awesome when you do it in a line of units. The ultimate lets the CL tank even more, which is great since many undead units are fragile. Watch out for his mana as he tends to run out often.
Overall, fragile (cept the CL), but powerful heroes, which also reflects on the units, and underused casters. Destroyers should definitely be considered against human and orc, and Frost Wyrms round them off nicely.