The difference between Heretic and Hexen is comparable to the difference between DOOM and DOOM II... 3x9 levels instead of 31 in 5 smaller blocks, no annoying and barely solvable puzzles, more balanced gameplay (rather a steady flow of monsters instead of nearly empty areas combined with some big battles you can barely manage). The points where this analogy doesn't work is Hexen's hub system and that the puzzles are something you can learn and then they're easy, unlike DOOM II's annoying and stupid "puzzles" and traps that pissed me off even after knowing what's coming.
All in all, I'd say of the 4 games Heretic is by far the best. Hexen is not a bad game and was fun for a much longer time than today's games. OTOH all those new features in Hexen people always talk about have great potential and make Hexen the most optimal DOOM engine game to develop new mods upon, but for the original game's gameplay they didn't do nearly as much as people think. As far as I'm concerned, the hub system, the complex puzzles and the scripted events make the gameplay, if anything, less fun in the long run. I like Heretic's fast and furious action a lot better. DOOM and Heretic are one of the very few FPS games ever where you can play the game map by map just warping to it and plunging into the action. Every single map of Heretic and DOOM is designed in the way that you can just warp in and w/o adding yourself weapons or other stuff with cheats, you can beat the map. Back in the late 1990s I've played Heretic a lot on skill 5, map by map. This way you can pick the parts of a game you like best and enjoy them w/o having to play parts you don't like that much.
p.s. Regarding Heretic, see <!-- m --><a class="postlink" href="http://www.ravengames.com/heretic/">http://www.ravengames.com/heretic/</a><!-- m --> . You can also find a lot of info about Deathkings at <!-- m --><a class="postlink" href="http://www.ravengames.com/hexen/deathkings/">http://www.ravengames.com/hexen/deathkings/</a><!-- m -->