I have the option of getting either U Hellboy or Sammy Rey.
Which should I get?

Thanks!!

Depends. I personally LIKE Hellboy better, both as a character and as a great sculpt. He's also useful in very high point games.

However, as a playable piece, Samdahl Rey is much better. He's cheaper, he's got range, and he's the only fig in Indy with Support. Plus the Crossgen ability is great with that deep dial.

I guess it depends on what you are going to use the piece for... If you want to play it a lot, Samdahl Rey is probably the better choice.

I'd say the Hellboy. Sam Rey has range that HB does not. Other than that Hellboy has better numbers, a longer dial and a less 'eccentric' mix of powers. Hellboy 'hulks up' without an activation or slow build up. Rey can be good in a certain niche, I think you'll find (U) Hellboy more useful, more often.

Well, I am trying to build an Indy team for a big battle (500 pts.) with Marvel/DC teams. My Indy army needs a unique and these two are at the top of my list. I still can't decide...

It's easier to build around Hellboy since his power set is more predictable than sammy's.

they are inverse characters:

Hellboy is a huge fighter that needs support,

Sam is a fantastic support piece that needs figures to support, luckily he is cheaper and thus leaves more room for better fighters.

Hellboy also has the B.P.R.D. team ability going for him, so he could copy the Crossgen TA along with a few others that may come in handy in a 500 point game(2000A.D. and Kabuki come to mind). Say you build a team consisting of:
U Hellboy 188pts.
Vet. Rasputin 111
Vet. Bron 89
Rook. Johnny Alpha 41
Rook. Lobster Johnson 41
Vet. Scarab 30
=500pts. on a dime. If you are looking for a little more offense, you could sub out Vet. Scarab for LE Keiko and replace "The Lobster" with Vet. Arwyn (13 range with Running Shot PLUS Willpower will keep the opposition on their toes!). Rookie Yukio could be a nice addition to this team if only I could fit her in...

The Unique hellboy piece strikes me as one of the best front line fighters in hero clix... Only rivals would be Area or KC supes. Does he play this strongly though?

I have found him to be, yes. What makes him so strong is his wild card. You can actually get him to the front line by giving him batman/kabuki stealth and then give retaliatory clicks from crossgen/mystics. I also have started hooking him up with damage shield and armor piercing so he deals two unreducable damage in close combat when hit.