There are three heroes for each race, heroes gain experience for each creature that dies on the battlefield. Heroes gain levels with this experience and also acquire skills. Here are the undead heroes:

Death Knight
Dread Lord

Undead Strategy

An easy early strategy for using undead is using crypt fiends. Crypt fiends are easily created and can be created early in the game. It's only requirements are the Crypt (where it is trained) and the Graveyard (where it's upgrades can be researched). I suggest making two or three Crypts to speed up your units production. It is essential to level up your hero in the early stages of the game and Crypt Fiends are the perfect units to accompany it. In late game if your Crypt Fiends cannot get through your opponents defenses, try using Frost Wyrms to rip apart his or her mineral gathering units. Fly right through or anound their defenses and park the wyrms right above the gold mine. This will REALLY tick off your opponent so be ready for a counter-attack. After this your opponent will be preoccupied setting up defenses around his mine. Use this to your advantage and bring in some meat wagons and blow apart his or her towers or whatever it is that is stopping your fiends (make sure you have something protecting your wagons they are quite weak). After his defenses are crippled bring in the fiends and maybe some Abominations to destroy his units. Follow this with a second wave of Meat Wagons to destroy the rest of his buildings.

Each hero is equal in strength but I prefer the Death Knight. He can heal your units and damage the enemy with Death Coil, and his Unholy Aura will help your Fiends recharge their life faster. He can also heal himself with his Death Pact (you must sacrifice a unit to use this), and his ultimate skill, Animate Dead, can turn the tide in your favor in a tough battle.