Haven't see Lucius before (or read through his cards), but I highly recommend Lady J for a starter and she is what use when teaching new people.
Firstly she is a combat machine which is a good transition tool for people coming from warhammer or warmahordes (as I did, and as is everyone I teach), because they can still go with 'get into combat and kill everything' mode those games instill. The Judge is a good allrounder, he is good at ranged or melee combat but also has some useful abilities. The Death Marshals are also good at range combat, but with the ability to ignore severe terrainand hard to wound they are good objective runners. So as a whole, I find they give a good spread for introducing Malifaux playing while transitioning from Warhammer/WarmaHordes playing.