This is why I love Blizzard games. So far I've found:
-If you land killing blow as Muradin on Arthas, Muradin says: "That's for leaving me in that cave!"
-During preparation, when Muradin and Falstad stand at a gate together - M:"Let's show them what a couple of dwarves can do!" F: "Damn straight!"
-During preparation, when Valla (Demon Hunter) stands with Nazeebo (Witch Doctor) - V:"If both of us are here, shouldn't forces of evil grow in strenght?" N:" Let us hope it is not so."
-Another Muradin and Falstad interaction is something like betting who gets more kills, but I'm not sure if that's not just generic Muradin prep talk.
I'm sure there is loads of more of those little things in HotS, so if you heard some unusual heroes talks, please do share!