Rag and sylv go in pretty much any deck with a slight nod to sylv over rag only because she costs less and so you're more likely to get to use her in any given game, especially in the currently very aggro meta there's no guarantees that the game will even go to 8 mana let alone that a random 8 damage attack will help save you from a board full of tiny critters.
Thalnos doesn't really fit. An aggro lock doesn't want to play a 1 power creature even if it might live to pump their mortal coils and soulfires, and a control lock is mostly keeping the board clear with hellfire and shadowflame rather then gain incremental advantage on power boosted 1for1s like shadow bolt and demon fire. While a potent combo with hellfire, the odds of playing a thalnos and keeping it on the board a turn to hellfire is slim, and you can't afford to wait until 6 mana to play both at once.
Leeroy is an interesting possibility both as a finishing move in an aggro rush or as a shadowflame combo piece in control but i feel like he's still a distant 3rd to the more reliable sylv or rag. Sometimes they'll have a taunt or sometimes you wont draw into shadowflame or you'll be forced to play him early for lack of any other play just to kill a yeti or something and then the opponent will get to actually use the 2 whelps against you and so on. Cool but quirky.
Jarraxus is in the same place as ysera right now, extremely powerful but comes out so late the game is probably already either won or lost before you get to really abuse it. Like if the already very late game rag is dropped on 8 and your turn 9 response is jarraxus, you haven't really helped yourself until you've dropped a couple infernals 2 turns down the road by which time you either stabilized from other plays that had nothing to do with being jarraxus transformed or you're dead. If and when the game slows down some then jar will become more desirable.