In Starcraft II, do the armory upgrades apply to hero/mercenary units as well?

At least some Hero units are affected.

It's great fun when you have an Odin (Mega-thor) walking around with +2 Weapons, dealing 48 x2 damage a shot.

Edit: Oh wait, you're not talking about the in-mission armory.

I know they get anything you research from an engineering bay or armory, not sure about credits-bought upgrades. Inclined to say "no" though.

UPDATE: At least in the instance of the marine mercenaries, they will receive the Combat Shield and Stimpacks upgrades when you buy them for your marines. It serves to follow that other armory purchases affect the mercs as well.

The answer is very much yes.

If you're referring to the armory building in-game. Then the upgrades there will apply to the mercenary units that would normally be affected by them, like the Thors.

If you're referring to the armory on the hyperion, then yes, upgrades (like stimpack) get applied to the mercenary marines in game.

(Updated) (Tested)