Let me start with some thoughts regarding the heroes themselves:

- Mage: ... a Bomb. At the beginning, a Mage is quite fragile. Leveling him up to Level 7 grants Inflict Stun. Which already gives a lot of power... Reaching Level 11 grants him Lightning Cascade and Level 13 Thunderstorm. At this point, the Mage is simply a T5+ Unit, capable of easily defeatig several T4s (well, there are exceptions - Shock Immune [and party incorporal] is their bane of course). A great support Hero to suppliment your army. Thanks to floating, it can be used as a leader for a bunch of summoned units [elementals, ghosts, gods, ...]
IMO the strongest Hero by far, once Level 11 is reached.
Though I personally don't really skill the Mage tree ^^

- Necromancer: A very nice support. He debuffs the hell out of your enemies, making him quite useless against machines, undead and strong will, though. As compensation, he can use Greater Reanimate to reanimate the enemy undead, he has access to Control Undead or Necromantic Aura. His Energy Drain may be far weaker than Inflict Shock - but it is still strong! Both Undying and Invoke Death have their uses as well...
He is actually a great one-of Support. Since most of his Debuffs are not stacking ....

- Theorcrat: Actually, if not playing Necro, his healing abilities can save you alot. Touch of Faith can help both leveling as well of giving an important unit a bit more elemental resistance. With both Sacred Arms, Healing Aura and especially Divine Justicars he is a great leader. He has also quite some synergies with devout units. He does have some ability to go into melee ... I never tried it, though. A bit too squishy in my opinion :P
(does Celestial Decree consume action points? If not, it would be strong, if it does, it would look rather lackluster)

- Warlord: A very good Unit to soak damage, IMO. His Def is extraordinary, and he has quite a bit Melee Support (Martial Arts, Tireless, First Strike). Though rather than support, he seems to be geared to be a leader, due to his commands, field medic and Warmonger). Due to this, I rarely choose him... He seems to be lacking in a lategame ability, as well, IMO. While Sadistic Streak can push him, most of the times he wouldn't land the finishing blow / there won't be enough units to make a substantiell difference (or he needs to fight alone...^^). All in all, I have not much experience with him

- Arch Druid: An interesting one. He has several leader abilities (Giving 40% res for psn, cold and spirit, Natural ...) but he becomes very strong in lategame as well (though still surpassed by Mage). Regrowth lets him Tank unholy amounts of damage, especially if he is geared towards health. And Entangling Strike is similar ability to Inflict Stun, though it does tend to procc more often (though melee). Adding the Nourishing Meals and Healing, they are good at supporting as well.

- Rogues: Hm. Not sure. Crippling Wounds is inferior to Drain Energy (which is far inferior to Inflict Stun). He has some supportive abilities, but most of them are rather specialized (giving Armor piercing, devout slayer and similar). Assassin Strike is quite powerful, but a one-time-off, he is quite squishy even with first strike and Total Awareness. Creeping Venom - never really came around skilling it. Why? 'Cause most of my army consisted of elementars, supports and heroes at that point :P Additionally, since he himself doesn't get it, and the effect tends to be on the weaker side ... I know, with it you will be able to flank the enemies quite a bit - but it is a 'can' trigger as well. Doesn't strike me that strong, IMO (well, I may have misunderstood the description).
IMO compared to the 'ulti' skills of the other classes, he is lagging behind a bit.

Dreadnoughts: IMO the weakest of all heroes. Why?
He is a terrible support. Sure, he can soak up damage, but Warlord does that better, IMO. Some abilities strike me as uselss (Tree Crusher? Most of the times you will have a Juggy at this point, no? What about Bomb Squad?! Disregarding that Explosive Death can be quite dangerous for your troops as well, Flame Tanks and the Drones already have it. Uh, I can't really imagine when I would want to skill it...).
Rapid Fire is another point - it is not worth 8 points. Especially not that late in the game. Due to the lower damage increase (+ranged increase it by one, other attacks are increased about 3 if you can get into range. So the standart way would be to run up to the enemy, use your rifle and then use any other attack ability, gained by either defeating enemy heroes, or plundering your owns. Add to it, that as a Dreadnought main you get sidearms .... Dunno, it simply strikes me as useless and not worth 8 points.
Magebane armor is great - if you are leading an army. Which is armored. And if I read it correclty, it does not affect class units? If so, that would be pretty weak. I mean, machines have 100% spirit protection by nature. It would be like a combination of Lightningrod-Banner, Spirit of the Lands and defensive command - for a very few units. Attained at level 13.
Fist of Steel are strong, granted, but... Still, far from the high-end abilities of other classes. In fact, Necros have similar debuffs on that Level with less amount of points as well (Curse, though more restricted). Dunno...
I never really used Explosive Reload (which needs class units once again), but I reckon that it is, in most cases, not that superior to an attack of the Dreadnought itself. Greater Fire Bomb as well, is 'ok' but does kind of clash with his musket (which one do you prefer? AoE, or a chance of criplling and slightly more damage but the need to get close?)

In other words, Drednoughts is the class which is the most reliant on its units. Necro can reanimate his enemies (partly) to gain an army which he can interact with, Theorcrat could Mark Enemies as Heretics himself, to gain additional damage (though IMO it would be better to skill other things^^). Dreadnought is missing some game-changing abilities uppon reaching level 11-13 ...