Pyramid Head is all-around awesome. Not only does he act as a protector of Heather, he also gets into a one-on-one duel with the Missionary monster, on an arena surrounded by fire!
The flashback showing how Harry straight-up stabbed a cult member in the chest when he busted down his door trying to kidnap Heather. Quite violent, but a clear example of the lengths Harry has gone in protecting his daughter.
Heather in general. Telling the snobs at her class off in her first day is just the tip of the iceberg. Say what you will about the film, they nailed Heather Mason's character awesomely, and even ADDED some more Badassery to her. ( Melding with Alessa? Turning Claudia into the Missionary in front of her followers and then sending Pyramid Head to cut her head off? BADASS.