9. The Black Flame
Assuming Zinco are going to be involved somewhere as an organisation, and their fixation with recreating wartime Nazi paranormal research as a theme, would lead naturally to hope that the Black Flame, one of the best designed Hellboy villains, might make an appearance.
In the comics, the Black Flame is a Nazi supervillain who resembles the Red Skull crossed with Ghost Rider and who serves as the nemesis for Lobster Johnson (we'll get back to him). Roderick Zinco's replacement as Zinco boss, Landis Pope, is obsessed with finding the Black Flame's costume and magical artefacts and assuming his mantle. This he does, but only to discover that the Black Flame's role is to 'light the way' for more of the Lovecraftian chaos beasties from the first movie.
A later story arc involved Zinco proposing to resurrect Rasputin in a synthetic humanoid body taken from the Oannes Society (more on them later, too), but instead summoning a newly reborn Black Flame, now with no human host at all.
The Black Flame is a great mix of pulp Nazi-fighting adventure villain and gothic supernatural creature that would fit nicely into Del Toro's Hellboy world. In some ways, he is perhaps a little too similar to the movie version of Kroenen, but perhaps movie-Zinco's resurrection of movie-Kroenen could be mashed together with the Black Flame story to create a take on the character that combines the two.