Lovecraft, Houdini, Churchill, Eisenhower, Patton, and F.W. Murnau, the guy who directed Nosferatu.
I like most of the suggestions I've read, but I can't imagine a list of Diesel era heroes without :General Douglas MacArthur; explorer Percy Fawcett; singer Carlos Gardel; police detective and later a junta member Julio Alsogaray (Argentina's Elliot Ness); engineer Ferdinand Porsche; and Leslie Charteris' fictional character of Simon Templar, The Saint. You know, there many prominent diesel era figures outside the US.
I would have to include Horace Elgin Dodge and John Francis Dodge, the "Dodge Brothers". What they did with the V8 has become essential in Dieselpunk stories. Whether it was running rum, evading police or running down gangsters a big block engine with lightning speed is necessary.
Teddy Roosevelt was an impressive figure, but wasn't he really in the Steampunk era instead? I think of WWI as the dividing line. For example, it wasn't until the 1920s that there was the relative economic prosperity that made possible many of the items associated with the Dieselpunk era. In contrast, Franklin Roosevelt was from the Dieselpunk era.
Eric McCormick said:
Also I gotta give it up for Teddy Roosevelt