I have to say, in terms of usefulness, war elephants - when a faction can't usually get them, they're excellent - mobile battering rams for to break gates, palisades, formations...

When playing as the British, any form of cavalry mercenary is much appreciated.

Non-horse archer nations also benefit from sarmation mercs, as well as those camel riding types.

Basically, I see whichever mercenaries that don't come with the faction I'm playing as better than those that do.