Leona Heidern is my favorite KOF character. And my second favorite video game character (only behind, well, Moriya).
In fact, I started playing KOF because of her. Back in 1996, I was really impressed by her Baltic Launcher move, in that time when KOF had amazing graphics and I had never seen a move like that. I started playing KOF because of her even though I already used to play games like Fatal Fury and Art of Fighting (and already knew that KOF existed since 1994, but never bothered to check it out, despite loving these other SNK games).
I love her design, her story, and her gameplay. However, being and adept of the "change is almost always good" philosophy, I could definitely live with some changes for her in the next KOF (as well as many other characters that never change like Ryo, Mai, Iori, Clark, Daimon... but let's not get into that). A new outfit would be fine (different shorts since I don't like the ones she uses now), and a different jacket (since I think she should still wear a jacket but looked really good with it open, in that KOF98 winpose... so a RB Mary style jacket would be perfect). As for gameplay, changes would be excellent (specially after the nerfing she got in 2003). Personally, I would kill for f,d,df + P Moon Slasher (like 2001 Heidern), and hcb + P Baltic Launcher. I sincerely think that only her Ground Saber should remain a charge move (since it's the only one that looks like a charge move and needs to be a charge move, to avoid Ralf Tackle-style cheapness).
And yes, I would kill to see her in crossover games too.