Hunting characters is the last thing a peg captain should have in mind. My favorite build is a 1+ rerollable save with the dragonhelm and a lance. He wont hold up anything with ranks, but charge him into any chaff unit, chariot, or even monstrou cav (hopefully they have the flaming banner, if not hit them in the flank!), and he will do amazing things. I used to run three at 2400+, they never disappoint.
The griffin is a little bit harder to justify. He is a solid, fun choice, but in an army with so many superior lord choices he is simply lackluster. Also, Empire characters are not known for their incredible fighting ability. If you want to run one, go right ahead. hook him up with the white cloak and some other gear, as the cloak adds some survivability to the griffin as well.