Vatican assassin Heinkel Wolfe is best known for her appearance in side manga Cross Fire. While not canon to Hellsing proper, the three Cross Fire episodes appear at the end of the first three tankōbon.
The major difference is that Cross Fire Heinkel is a woman, while Hirano describes her canon incarnation as "neither male nor female." Either way, Heinkel dresses as a priest, wields pistols, and goes where the Vatican sends her, to defend Catholicism against threats - usually by killing people until the problem goes away.
More level-headed than her partner, the berserker Yumie, Heinkel is the strategist and leader of the team. She's also the only one there when Enrico needs a bodyguard in a peaceful situation.
Heinkel's past is a nonpresence, her present straightforward. Still, she's sharp enough to start questioning orders and acting on her own, leaving her future a mystery.
Why love Heinkel? Because she's like the female (er, more feminine), less-screwed-up, young version of Alex. She's not a regenerator, but she's competent, tough, and bright. She's also scary and deadly. Fun.