Poor Heracross. When he was once the most feared Choice Bander out there in 3rd Gen, he really spiraled downward when new threats like Gliscor and Infernape came along. And that's not mentioning how many of other Heracross's enemies got a boost in 4th Gen, even though Heracross stayed strong... until fewer and fewer people used him. Because of this, Heracross was taken down to BL at best (I think that he was UU for a time...?). Now 5th Gen is here, and Heracross did not gain anything new except Moxie, which increases his attack stage by one after knocking out something. With Moxie, Heracross can keep growing stronger and stronger, but a smart player won't use Moxie, as Moxie Heracross can't absorb any status at all.
Besides the new Moxie, Heracross is the same old Pokemon. It speed ties with Toxicroak (base 85), has a GREAT base 125 attack, and 80 / 75 / 95 defenses aren't too bad. Despite this, Scizor will always overshadow Heracross because of lack of weaknesses, U-Turn, and physical priority in Bullet Punch. However, don't underestimate this guy. He wasn't feared in early 4th Gen (Diamond and Pearl) for no reason, guys.
Abilities:
Guts
Arguably the best ability of choice here. Guts allow him to switch into Burns and Toxic Spikes with relative impunity. Also, Heracross is made as a sleep absorber at times, making Guts the best choice out there when it comes to abilities.
Swarm
Heracross's worst ability, which raises the power of Bug-type moves when lower than 33% of health. Only needed for Substitute sets, like Substitute + 3 Attacks or SubSalac, as Heracross will not be statused.
Moxie
Boosts your attack by one stage after knocking out someone. It works more in theory rather than in practice, though. Even if it gets Moxie boosts, there will always be more faster Pokemon out there like Infernape to end your sweep. Only use this on Choice Scarf versions, as he really does not have the speed to pull off a Moxie set.
Movesets:
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Winter-Resistant Fighter (Choice)
-Close Combat / Focus Punch
-Megahorn
-Stone Edge
-Pursuit / Night Slash / Shadow Claw / Sleep Talk
Item Attached: Choice Scarf / Choice Band
Ability: Guts
EVs and Nature: 4 HP / 252 Atk / 252 Spd
Adamant Nature (+Atk, -SAtk)
Good old Choice Heracross. They are the most popular sets for Heracross.
Close Combat is a great move for Fighting-types, having 120 power, 100% accuracy, and reliability for any Choice item. However, Focus Punch is a good option with Choice Band, as it's a general wallbreaker and hole-puncher with a Choice Band.
Megahorn is an incredible attack that has reasonable accuracy, a soild 120 power, and reasonable PP.
Stone Edge is for those Flying-type that resist Heracross's STAB combination.
The final choice is for which set you're running. Use Pursuit on the Choice Band to catch fleeing opponents. Use Night Slash or Shadow Claw for the Choice Scarf to hit Ghosts, although they also work Choice Band, too. Finally, Sleep Talk can turn Heracross into a sleep absorber.
Choice Band increases power, Choice Scarf increases speed. Pick your poison. Literally.
EVs are straight and to the point. No need talking about the EVs.
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Substitute + 3 Attacks
-Substitute
-Close Combat
-Megahorn
-Stone Edge / Night Slash
Item Attached: Leftovers
Ability: Swarm / Moxie
EVs and Nature: 16 HP / 240 Atk / 252 Spd
Jolly Nature (+Spd, -SAtk)
Heracross has many problems with his counters, but when he throws up a Sub when the opponent switches, he can either kill him off or weaken him enough for a priority move to finish it off.
Substitute is obvious.
Close Combat and Megahorn are great STAB choices.
Stone Edge hits Flying-types, Night Slash for Ghosts.
Leftovers regains health lost from Substitutes.
16 HP EVs for a Leftovers number. The rest thrown into offenses.
Other Options:
Bulk Up may work, but with the new powerhouses like Conkeldurr and Chandelure, it may not work.
Checks and Counters:
Oh, how the mighty fallen... his large checks and counters only increased here on out. Zapdos, Gliscor, Gyarados, Dragonite, Rotom-A, Tentacruel, Gengar, Jellicent, and Galvantula resist his STAB moves and can fire off a strong attack.
Infernape gets a special mention, as it outspeeds Heracross, has a Fire Blast / Flare Blitz to end his life, and will never be OHKOed by Megahorn, even with Guts, Choice Band, and a critical hit factored in. That says alot. However, the other attacks like Close Combat and Stone Edge will kill Infernape.