The Herald is an oft-overlooked element in storytelling, but one which is required in the archetypal Hero's Journey. It is the character that awakens the Hero to their nature, or at least introduces the change that will precipitate the Hero's Journey.
As a result of the Herald's actions, the Hero begins their quest. They function in stories like a spark plug in a car functions: without them there is no spark to get things moving.
The Herald in Narrative
The Herald plays a significant role in stories, because they confirm both for the audience and the Hero themselves who the main character of the story will be.
Personally, when I think of the notion of the Herald, I think of the song "Hark the Herald Angels Sing", and since we're in late January I insist on inflicting the memory of songs that should have been returned to an eleven-month slumber (at least; my apologies to Whitefield) but retain a spot in my mind upon everyone else.
In any case, however, the Christian story does actually hold a certain amount of credence here as a case (though the story is actually a little atypical, as normally it is the adolescent or adult Hero who meets the Herald): the Herald is needed to inflect the distinctions between the ordinary world of everyday life and the supernatural world–the world of voyage and discovery–that awaits the Hero.
In the upper portion of the Nativity scene, one can see herald angels. Image courtesy Wikimedia (Bronzino's "Adoration of the Shepherds").
The Herald accompanies the inciting incident of the plot, and is responsible for kicking the story into gear. They can also play a deeper psychological role; depending on their relationship to the Hero and the form they take they may indicate the needs that the Hero face, which are themselves symbolic of some stage in the relationship between the conscious and unconscious of a person and the steps they need to take to become a wholly unified self.
Examples of the Herald
More traditional examples of the Herald include characters such as Hagrid in Harry Potter ("You're a wizard, Harry!", or "Harry—yer a wizard" if we want to stick to the books), Gandalf in The Lord of the Rings, and Bishop Myriel in Les Miserables.
Most of these characters exist solely to provide the Hero with the context for their journey; Gandalf is an interesting one because he reappears in other places throughout the book in roles pivotal to the story (though one could argue that he does not play a Mentor role, but rather one of an Ally). As with other archetypal roles they are typically occupied exclusively by one character, but one character does not have to exclusively fulfill one archetypal role.
It is possible for the Herald to be a mystical figure instead of a literal one; a symbol that appears in a dream can work well. To use another Christian story, the angel who appeared to Mary, who is an ephemeral figure who has no other connection to her life, is a good example of this potential Herald, though it is worth noting that this is what I would consider well within the boundaries of a traditional Herald.
The Herald can take on a couple of distinct inflections based on the relationship they share with the Hero. This can lead to some interesting interactions.
The Caregiver serves as an early pre-Mentor figure for the Hero (and, in some cases, will fulfill both roles).
There is a distinction that can be formed based on whether this figure is part of the ordinary world or the supernatural world to which the Hero must go, but typically the end result is the same: the Hero is not ready for the Journey at the start of the story and the Caregiver protects them until they are able to go on the Hero's Journey.
This is more common for stories which lack a more clear-cut Mentor figure.
The story of Zeus, who was nursed by Amalthea and, in some versions, hidden from Cronus by the Kouretes, is an example of this sort of Herald.
Another alternative Herald is the Dragon, a variant which combines the Herald's role as indicator of the Hero's future with a direct threat imposed upon them.
This is a rarer form, because typically a Hero is unprepared for this, but it does occur often with the tragic form of Hero, whose relationships with the universe may be troubled.
The cyclone and wicked witch in the Wizard of Oz film are great examples of characters who are very clear examples of this sort of variant Herald; the Hero must adapt quickly to overcome them.
Heralds are important because they indicate what will happen, but they can take a variety of forms. Often they are minor characters, and do not play much of a major role in a story, but their presence in and of itself can reflect a revolutionary change in the world that must be confronted.
It's worth noting that a Villain does not necessarily make a good Herald, because they may very well kill the Hero (though, the examples I will take from games are exceptions to this notion).
Heralds in Games
Heralds in games show the player what their goal will be, and they tend to be one of the best-executed character types in games (in part because they can be dreadfully simple).
The Far Cry series' Vaas Montenegro and Pagan Min are great examples of Herald-Villains, who go on to torment the player after their character-avatar is dropped into the story. Likewise, Skyrim's Alduin and Fallout 4's Kellogg are perfect examples of Heralds.
In all these games there's an interesting, but also perhaps unintentionally symbolic, element where most of the player character's actions up to this point are done for them or are not part of a choice; they may have some say in designing the cosmetic and mechanical parts of their character, but the actual narrative is locked in stone until after the Herald is met, at which point the player gets to choose to pursue those goals or have more flexibility in their paths.
The Herald is a crucial part of stories because of their role in getting the ball rolling. Without them there is no way to advance the plot, and they can play a deep role in showing the audience what symbolic journey the Hero is about to embark on.
Despite their importance, they are relatively simple in their development: they are required for a solid story but can be minor characters. The Herald may be more developed if they have another archetypal role, but typically is a mysterious figure; this helps induce the Hero's journey into the unknown and push them to grow and develop.