Thye most important figure in the story who doesn't have his own figure is Theoden. Some might disagree and say Eowyn, and they're certainly nearly equal in importance. Consider that the Mouth of Sauron shows up for about three or four pages in the last book and he gets a figure, while T&E are in several different chapters, and they have yet to get figures.
Elrond, hands down. Beyond that, new characters I'd love to see would include Theoden and Denethor, and possibly Wormtongue and Faramir.
Also, Smeagol has already been published but can't be obtained from anywhere... which is ridiculous.
On Eowyn, the problem with her is that she's completely unimportant up until the point she kills WK. She wasn't a leader of troops, and quite unimportant politically. Integrating that into the game in a way in which'd both justify a sculpt and be true to LotR would be difficult, to say the least.
Eowyn could plausibly join the fellowship if it journeyed to Rohan, e.g. if it was a political manuver by Wormtounge to curb her influence at court, and she were infatuated with a random Fellowship member.
An interesting point - I always thought the council in Rivendell as something vital for being included in the Fellowship. True, Merri and Pippin were not in that meeting, but they had proven themselves before, and were included by Elrond himself. Further, the only creature they picked up along the way had a stronger connection to the Ring than anybody else in the Fellowship.
Basically I'd find it more plausible (and a lot more Tolkienesque) that Eowyn would be turned away from the Fellowship rather than being invited in. In any case I'd expect her not to leave Rohan while Saruman is at large, making a tough pre-setting for her departure.
Anyhow, after Elrond, both Theoden and Denethor are still missing... they are the heads of state of the two most powerful FP kingdoms, and could be made into interesting characters, especially if they can find release from the spells and burdens they're under.
Denethor is represented - he's the Gondor leader starting in Minas Tirith, and the one that gets zapped by The Madness of Denethor. This is about all the complexity that the topic needs in the strategic game.
In the operational game, it is vexing, to say the least, that Denthor makes no appearance whatsoever.
Theoden is the leader in Riders of Theoden. And he has his own scuplt in the expansion, though it wasn't very unique, one can always paint it.
As an aside, here's how to get a sculpt for Faramir: Step 1: use Boromir Step 2: wave your hands in the air and recite the passage in RotK about how they're virtually indistinguishable. Presto! Faramir sculpt.
Although I like Veldrin's idea of using a The North leader better, not everyone was lucky enough to get an extra The North leader in the original box.