If you have reached Iron Age this building will appear in your city.
There are a total of 16 Heroes. We only get a choice of 5 to start while the bugs get worked out. Here they are.
Alexander
Arminius
Boudicca
Spartan soldier
Teuta
Not all heroes are equal. There will be tiers like common, epic and legendary heroes. You need to house them in your city by unlocking and building this
You can assign a hero and recall them but be careful as there is a cool-down period before you can use them again.
More details to follow when embargo is lifted but for those who are having difficulty in QI, help is on the way in the form of Heroes.