You can hex edit the language.dll file in the AOE2 directory. Load the file into the hex editor, and do a unicode search for the name of the hero you want to change. Substitute the old hero name with his/her new name. The main limitation is that the new name must be either the same length or shorter that the old name. If it's shorter, fill the remainder of the name with spaces. As far as I know, you cannot change the unit's attributes. If someone has found a way to do this, please let me know.
IMPORTANT: Back up the original language.dll file BEFORE editing it. Also, do NOT overwrite the periods between the letters of the unit's name (or those following it). You must leave them the way they are.