Lorna Dane: We have a Zala. Now we just need a Lorna for her to antagonize. Again. :D
Illyana Rasputina: Illyana was an older mentor type figure to Nathan Essex, Selene and Piotr Rasputin. Having a young Illy in the game would be a neat dynamic. Plus Selene has the soul sword from the (now deceased) Illy of her world and that could make for some interesting plot.
Dani Moonstar: Selene's guardian. A Dani Moonstar who knows and hates Selene would rock.
Nick Fury, Tony Stark and Peter Parker: They all have interesting histories with the Savage Land. Incorporating more characters outside of the X-Comics would rock. Plus Valkyrie would know of them and it would confuse her even more. :D