From the Die2Nite help:
As soon as you make your first purchase, all all the advantages of being a Hero are available immediately.
- Loyalty bonuses - On average, every 15 days you spend as a Hero, you will unlock a new hidden advantage or skill !
- Professions - You can choose your speciality and take advantage of the special skills that go with it !
- Improvements - You are free to customise your house to unblock new features of the game !
- Heroic Actions - These special actions let you deal with any situation : to find useful objects, teleport you back to town, kill zombies with your bare hands, or even teleport a trapped or lost player back to town !
- Rucksack - You can carry 1 additional object !
- Chest Upgrade - You can store 1 additional object at home !
- Choice of Game - You can choose your own town when you start a new life (and you can see all the citizens who are already there !)
- World Forum - unlimited access to the Forum of Heroes !
- Armour Plating - Your house will receive 2 additional defence points !
Hero mode has a limited lifespan which is extended by one or more days with every new subscription. Hero days are only discounted when you are playing the game. They do not count down when you are dead (or on holiday). Advantages earned in Hero mode are lost as soon as your supply of Hero days runs out.
Contrary to what it says in the first sentence though, there are those "loyalty bonuses" that it mentions right under that. You can find a list of the discovered ones of those over at the wiki.
Then right below that on the wiki, it lists the Heroic Actions and when they can be preformed, but I don't think that you can actually use Heroic Return and Vicious Uppercut in town.
The World Beyond
These can be performed once per game, and only one can be performed per day. These abilites cost no AP to perform.
- Heroic Return - If used, the hero will immediately be returned to the town if he is less than 15 sectors away.
- Seeker - If used, the hero instantly discovers a useful object (the item found can be chosen from a list available).
- Vicious Uppercut - If used, the hero will immediately and automatically kill two zombies in the sector he is in.
Town Abilities
- Heroic Return - If used, the hero will immediately be returned to the town if he is less than 15 sectors away.
- Seeker - If used, the hero instantly discovers a useful object. The item found can be chosen from a list available.
- Vicious Uppercut - If used, the hero will immediately and automatically kill two zombies in the sector he is in.
- Rescue - If used, the hero could escort a player back into town (from a maximum of two square away). The player that the hero wish to escort can be chosen from a list available.
I'm not sure when you can use what though, since I don't have Hero Mode. I assume that you can only use the ones with arrows next to them.