Take it from a lvl 87 WW Barb, you definitely want to keep the merc you have until you finish normal difficulty. Then level yourself up to lvl 40 or so doing Normal Baal runs, and switch out to a might merc in Act II nightmare. I recently dumped my lvl 85 defensive merc for a might merc (even though he was about 40 levels below me) and worked for hours getting him back up to a high lvl.
The reason is that you'll have a much easier time of hell if you're hitting for higher damage and, crucially, leeching back more health. The added defense will keep you from getting hit occasionally, but I find you're much better off if you're leeching back more health with each hit. Same thing with your merc... If he's hitting for more damage, he'll stay alive more easily. A high level might merc with a good leeching weapon (bonehew, reaper's toll, or any good unique with an AMN rune in it), and a leeching helm like Tal's mask or crown of thieves is pretty hard to kill. He'll be your bud forever! Have fun!