In Heroscape, moving your troops efficiently is frequently crucial to success. Some scenarios call for you to search the map, or to transport a glyph, and being able to do so rapidly is paramount to your victory. But even when your only goal is annihilation, gaining control of high ground or choke points can be the key to your victory. So I've focused on troops that facilitate movement, or who greatly benefit from having their movement improved.
Tarn Viking Warriors
If you can get a little luck with the dice, the Tarn can be a quick swarm of destruction, coming in from long range and surrounding a hapless foe. Also, if you're trying to get or move a glyph, the Tarn are a viable option. And for only 50 points, they're reasonably strong in combat.
Theracus
At the start of a troop draft, while everyone else is grabbing dragons and giants, this is frequently one of my first picks. If your map has a notable high area (my group has a pair of the castle expansions), then getting ranged attackers to the top of the wall can be crucial. Having a range of 7 AND flying means that Theracus can cover a lot of ground quickly, and take another character along. With 3 life and 3 defense dice, Theracus can usually survive a couple of attacks, and only costs 40 points.
Syvarris
If Theracus is my first pick, then Syvarris is frequently my second. If I can carry Syvarris to a high place, he can start picking off opponents with impunity. In fact, in one game I managed to get him the Range +4 glyph at the beginning of the game, and spent the entire rest of the game using only him. I can't stress enough how VERY FAR 9 spaces can be. And if you have enough height to the map, then you can get the extra attack dice to compensate for his weak attack.
This is another character that I like to carry around. His attack is poor, but he's fairly resilient, and Mind Shackle can completely change the game. I like to carry him right up to the enemy's front line at the beginning of a battle, and then try to take over the front line. Sure, it's a long shot, but the payoff is huge, and the threat of it can cause enough panic that it can totally disrupt any strategy that my enemy might have.
Brunak
This is who typically carries Ne-Gok-Sa. His movement is not particularly good, although if your map has lava, he becomes invaluable. The reason that I like him, however, is that it means that Ne-Gok-Sa (or whoever) has someone standing next to him, and Brunak, unlike Theracus can be a significant offensive threat, especially if your opponent is depending on a clustered group of units with low life.
Airborne Elite
Airborne Elite
This is one of the riskier units in Heroscape, but they can easily reshape a battlefield. The risk is that you won't get to drop them on the map until it's too late for them to make a difference. But in many scenarios, the ability to drop anywhere can be huge. Behind enemy lines, on glyphs, or wherever their grenades will do the most damage. If nothing else, their range is almost as far as Syvarris's, and they have similar stats, and 4 attacks.