When comparing the same three mercenaries over the three acts, normal will always be strongest when lvl 99.
Take the rogue mercenary for example, you and two of your friends have the same mercenary at the same level with same exact gear. Your merc will be normal, one friend's merc will be nightmare, and the other friend's merc will be hell. The nightmare merc is stronger than the hell merc, and normal is stronger than both nightmare and hell. The reason that this happens, Blizzard wanted to reward the people who keep the normal merc of their choosing and stick with that merc all through the game.
Some mercenaries such as the act 2 desert mercenaries, will have a different ability in nightmare. I don't know if this different ability applies to all mercs or not, but I will go do a bit of research and post my findings here.
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Just as the Scorpion hunts...
"Nothing is True. Everything is Permitted." ~ Ezio Auditore de Firenze
Lt Venom, you missed scyberdragon's post or something?
Usually the act 2 nightmare defense merc (Holy Freeze) is best for most characters. But it always pays to read some pros and cons of the different mercs for any build you're going to make.
For instance, if you want to make a teleporting sorc, the holy freeze merc is actually worthless because the aura takes too long to start working. By that time, you're already teleported away. So the normal equivalent (Prayer) is actually more useful in this case. Just an example to show you that lots of builds require a different way of thinking to see which mercenary is more useful, it's not always the same one.
For summon necros nightmare offensive (might) is the best because it greatly increase the damage of all summons.
For a huricane druid you also don't need holy freeze because your huricane spell already have a very similar effect. Get a might/thorns if you have summons or a prayer one.