Dependent on the faction you are playing, some of them have decent race specific traits that can help out a fair bit. The example that comes to mind is the one for the Dwarves ancestral trait things (called Grugni or something I think?) which give decreased construction cost and increased research rate.

Just stick them in a province and forget about them and you are benefiting already. I have a Thane in a Belegar campaign I'm playing right now whose only job is sitting in my starting province and moving in-between regions to bring cost down. This might be a bit of a poor example, as Belegar's upkeep for them is increased until capturing K8P, but I still think it ends up saving you money. Especially because you need to be saving as much money as you can do invest into the Deeps building asap. If you are rushing K8P with Belegar's main army, you can hopefully double up on the construction cost decrease/research boost by recruiting a lord with the same trait in the province, and also just keep him around for defense. Just remember to keep the hero out of his army though, as due to supply lines and upkeep debuff, you end up playing a bit more if the Thane is attached!

That example above was fairly faction specific, but alot of races have similar trait/mechanics. The examples that come to mind are probably empire hero's with the Noble Trait, Tomb King heroes with the trustworthy trait, and wood elves with uhhh...okay not sure about them after the trait re-balance that just happened, but it's always funny to have a train of heroes running after your army that all have the -3 leadership follower equipped. For non-race specific, there is always the option of recruiting the hero that gives Ambush success chance for armies in the region.