I wouldn’t consider any individual hero a “must have”. That way of thinking leads to overspending, frustration, disappointment, and less skilled gameplay.
I would say that it’s a must to have 2-3 maxed 3* in each color and know how to use them well before starting on 4*. It’s equally important to have 2-3 maxed 4* in each color and know how to use them well before you start on 5*.
With that said, here are my recommendations for the most useful heroes in each rarity and color.
Red–Hawkmoon and costume, Nashgar (Azar and Jahangir to a lesser degree), Namahage from Atlantis, Ei-Dun from Valhalla, Rudolph from Santa’s Challenge, and Squire Wabbit from Springvale
Blue–Gunnar and costume, Valen, Ulmer (Karil to a lesser degree), Gato from Atlantis, Nordri from Valhalla, and Vodnik from Pirates of Corellia
Green–Brienne and costume, Belith, Berden (Isshtak, Carver, and Friar Tuck to a lesser degree), Mnesseus from Atlantis, By-Ulf from Valhalla, Hisan from Sand Empire
Yellow–Bane and costume, Kailani, Gan Ju, Melia from Atlantis, Kvasir from Valhalla, and Pixie from Riddles of Wonderland, Arman from Sand Empire
Purple–Tyrum and costume, Balthazar, Chochin and Gill-ra from Atlantis, Bjorn from Valhalla, Guardian Bat from Guardians of Teltoc
Red–Boldtusk and costume, Gormek, Scarlett, Colen, Guardian Falcon, Wilbur from Atlantis
Blue–Kiril, Grimm, Sonja and costume, Triton from Atlantis
Green–Melendor and costume, Caedmon, Hansel from Riddles of Wonderland, Buddy from Santa’s Challenge, Peters from Pirates of Corellia
Yellow–Wu Kong, Li Xiu and costume, Chao, Gretel from Riddles of Wonderland, Guardian Jackal from Guardians of Teltoc
Purple–Rigard and costume, Tiburtus, Sabina, Proteus from Atlantis, Merlin from Knights of Avalon
There may be more I’ve forgotten, and I haven included any of the season 3 4* as I haven’t finished leveling them yet, so I can’t really speak to their utility.