I'd be up for a Ambrose vs Henry singles match. Ambrose wild brawling style versus a power house like Henry could be a good mix if done right.
I actually think a powerhouse match between Reigns and Henry would be the most significant one on one bout for Henry.
I don't recall Roman Reigns ever being pinned yet. Ambrose has been pinned and he's tapped out to Undertaker (and Daniel Bryan, though the referee was distracted and didn't see it.) Rollins has been pinned by Cena and tapped out to Daniel Bryan. I can't recall Reigns being pinned or forced into submission in a match officially. They're clearly saving up for a special moment for when the biggest muscle of The Shield (who pinned WWE Champion John Cena cleanly, I might add) finally gets his shoulders pinned or taps out in pain for the first time. I used to think it would be saved for the moment when Reigns and Rollins lost the tag titles but perhaps Henry can be the first guy to put him down (unless I've missed something.) I also believe that Henry putting Reigns, the biggest guy of the three, in the Hall of Pain (wrap a chair around his ankle, then step on it) would be an awesome way for Henry to come back on The Shield.