LPhillips,
1) You can only explore ruins with a Paladin. At least if you plan on living through the experience. The Undead Lore for a Paladin is 9. For the other 2 heroes it's 6. With the dice for combat in a ruin set to 12 (instead of 100) you can easily see that the Paladin has a much higher chance to survive. You can add scouts/wizards/ghosts with your hero to increase his odds. Once you reach 12 undead lore you can't die in a L1 ruin (L2 you need 22 and L3 you need 32).
If there are nearby L1 ruins, I normally take a Paladin as my first hero (I am a what was known in DLR as a ruin whore). Usually I will build a couple of scouts to get his UL up to 12 to guarantee success. The gold boost (up to 900 gold) is well worth it especially if one can reach a couple of L1 ruins without going too far out of the way (you can of course get an item instead of gold so you aren't guaranteed gold). If there aren't close L1 ruins or you don't plan on searching any in the early game (focusing on cities with your hero instead) then you can potentially pick another hero (Valkrie is the other obvious choice for the faster move and higher initial bonus). The other advantage of taking the Paladin is that you get XP from searching which other heroes won't because they don't dare so you often level faster.
2) NEVER EVER accept a hero without allies unless the cost is 500 or less. The amount will range from 400-1100 with NO allies. So don't spend 1000 and get no allies. Wait another turn and get that same hero for 500 less or get an ally for that 1000 gold you spend.
Ghosts and Wizards make excellent early game allies. Both offer Undead Lore to allow a hero to reach 100% success immediately on L1 ruins (and shortly thereafter L2 ruins when you can get allies in addition to better items/more gold). Ghosts now fly and can carry your hero which is handy and Wizards travel a long way so on many maps early Wizards can harass an enemy.
Most of the other allies are all unchanged from earlier Beta's in terms of when/why you'd take them. Elementals now have a 3rd hit so they are handy when attacking neutrals if there isn't a lot of distance to travel. I typically avoid the Archon (Blue one) because it's been nerfed down to 6 negate making it pointless unless you are really desperate. Better to hold off for a better ally. Green Dragons I have not seen as allies but I assume you can get one. I wouldn't bother as it has no stack skill other than extra moves which is no where near as important as Red Dragon/Devil/Grand Archons.
3) Hero combat is exactly the same as before. Nothing has changed. Other than the Valkrie now only gets her bonus when attacking (so you must be careful to scout ahead and not get caught on defense). Archons still negate most of the hero powers (at least Grand Archons do, the Blue one only negates a small amount) so they are always extra handy in hero combats.
KGB
P.S. Unlike earlier Beta's, there is a practical limit on heroes of around 6. Once you get to 5 each successive one gets harder to get (less chance despite how much money you have). So you either need to disband heroes so you get more offers if you have lots of gold and want allies or be judicious about what you accept in terms of heroes (their location) and allies (the quality). Since I like a steady supply of ready made good allies (I'd rather spend 3200 gold on 2 Red Dragons now than 2200 to buy production and wait 10 turns to get them) I tend to disband L1 heroes.
P.P.S. Heroes get XP from conquering ANYTHING. Even neutral empty towers. So never take one with your regular units if there is a hero nearby who can snag free XP simply by visiting the tower. It's even better when your opponent continually takes it back with a crow so your hero can snag endless free XP