What happens when you get 500 wins with a character?

You get the golden Version of that hero. It says so when you hover over the number with the cursor (or tap it on touch screen devices).

Those golden portraits are animated (Samples can be found here). Also the tokens made by the Shaman and Paladin hero powers, as well as the weapon created by the Rogue hero power become golden, if you unlocked their golden portraits.

Those changes are purely cosmetic.

At 500 ranked wins with a character, you unlock a golden version of that hero.

This is purely cosmetic- all it does is change the background around your portrait to a shiny gold colour and adds animation. You also get a gold version of your hero power- the rogue, shaman, and paladin hero powers will summon the gold version of weapons, totems, and soldiers.