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!
Not only that, Film!Pyramid Head shows he may even stronger than his game counterpart. Explanation In the game, Pyramid Head can overhand swing his Great Knife numerous times and is invulnerable to any standard weapons - the only reason you survive is because he's weighed down. In the film, while he is open to damage, Pyramid Head's strength allows him to swing the Great Knife fast, like a regular one-handed sword even, dodging and deflecting blows from the Missonary!
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.)