The new space marine codex has some great unique characters in it. I personally have yet to play a non combat patrol game without my buddy Pedro. Unfortunately the excellent metal models that GW makes to represent them are generally about 15 dollars each. Since a standard marine plastic is between 3-5 dollars depending on source and a metal veteran is 6-7 dollars you can save 50% or more by building your own versions of the characters. Not only do you get to save money but you get some hobby fun as you explore what you can make out of that bit box. I pay attention to getting things WYSIWYG so if you run into someone very specific about that you are pretty much covered. Here is a list of the ones and the links that I have done.
Belial-No official Metal Model but even a plastic Terminator save 33% over the metal Captain.
Telion-Based on Plastic Scout savings of better than 60%.
Shrike-Plastic Assault Marine with Veterans lightening claws.
Cassius-Made from Old Metal Chaplain with converted Combiflamer.
Pedro-Plastic with leftover bits from Commander Box.
Sicarius-Recycled Metal veteran since I do not need so many with power weapons and plasma pistols.
In the works are Tigurius plastic with tabard, Lysander from plastic assault marines, Khan from dark angels ravenwing with semi functional jetbike, and Vulkan in Mk IV Power armor.