First, even if you don't move halfway across the world, merchants are worth it. I consider them profitable once they produce more than 55 florins per turn, so they pay for themselves in 10 turns (they don't cost upkeep). You don't have to go that far to achieve that. In my estimation if you send a three point merchant into France you can already find resources that give you that.

However, the real reason I use merchants is for the HUNT! Taking over enemy merchants is a nice minigame which gives me a lot of satisfaction.

Here is how I handle merchants:
Early on select a single city to be my mercantile center. Only train merchants from there and make sure that all buildings in the market range are built as soon as available. The starting credentials of merchants from that city will become better and better. BTW, often, merchant guilds also come with nice military additions as well.

Initially I keep my merchants close by, to be able to protect them from hostile takeovers. This is difficult in the beginning, since for some reason the AI can come up with ninja merchants early on. Later on I always keep one highly powered merchant around to kill intruders.
Locate resources that are in a pair and put merchants on both of them, so that both merchants get the monopoly traits. Once you have a merchant with 5 points, pair him up with a spy and go out hunting enemy merchants. Your merchant will become stronger and stronger and can be retired to a far off resource to yield hundreds of florins per turn.