The Nazguls are actually what makes the difference in Mordor.
Aside from being essential to level up Sauron, they provide you with a huge arsenal or powers and abilities the most important of which is the iconic debuff:
for a normal unupgraded Nazgul:
in a general match, when you're fighting a few "normal" units, it's pretty much safe to send your Nazgul with your units straight ahead (watch out for Pikemen though). However, when you feel the odds are against you, you'll need some very basic microing; station your Nazgul behind your line of Orcs so the debuff just affect the enemies. The enemies will suffer, and your Nazgul will have time to heal/ recharge powers, and won't get much harm.
If you don't like nerdy microing, you should always put Morgul Blade on auto-cast. despite what some people say, it's immensely effective against single powerful units and heroes; if you don't kill him right away, it will root him in place for your other stuff to do the job (and also take poison damage).
Nazguls on horses are probably one of the fastest units in the game; you should exploit that by occasionally raiding enemy unguarded settlements and lonely units, and pull out before you could effectively be engaged. this works best with a group of Nazguls including (and not limited to) the following: the normal two Nazguls, the Black Riders hero unit, KHAMUL!!, Morgul Riders, and if you can afford the upgrade: Witch King (the insane Nasgul leadership!). You can also use the Haradrim Riders if you got them.
Basically a hit and run tactic until you can muster a real assault.
You can also use this tactic to lure the enemy to an ambush where your Orcs can cut them off; the enemy will probably send spearmen and/or cavalry to counter you, and with a couple of pikeorcs, meat-shield Orcs, and some support, you can easily take them out and open a gap to the enemy.
Now it's a slightly different story when Sauron get high levels and your Nazguls get upgrades:
With Ring Hunters, it's almost straight forward: mount your fellbeasts and open hell from above!
of course you're not perfectly safe, but the enemy will almost definitely focus on getting more archer protection, which in turn (due to the new CP and cost rebalance) will leave him with a somewhat less brutal melee roster (more tower guards steel wall).
Remember that your debuff also work from the skies, so try to keep a Nazgul or two around your main force.
Also remember that the fellbeast deal a meta damage in a reasonable area, and an instakill to a single unit that it catches; use this to the maximum by targeting elite units and clusters of weak units. don't waist your time with lonely gondor swordsmen when the larger fight is developing.
when your fellbeast is taking fire, pull it out when it's around half health. DON'T WAIT TILL IT'S IN THE RED! arrows will follow you for quite a distance while you fall back.
when you want to leave a fellbeast to heal, put it on defensive stance so it doesn't rush anyone. They tend to have a pretty long sight and usually go to attack half way through the map.
If you feel the enemy has a lot of archers, DON'T stick to the fellbeast! The Nasguls are one of the most versatile units in the whole game; remember you also have a horse, and you can go on foot (against pikes which will remove their bonus on you). remember that you have some powers that work only while not flying! Khamul's anti-building aura is one of the best examples.
The Witch King:First you will hear many saying the the WK doesn't worth it. I would say otherwise; He worth every penny!
Your most powerful hero in Mordor (after Sauron), the Witch King's got everything you would want to deal with practically every situation:
1) He's a great army AND hero supporter AND enemy debuffer: the insanely ridiculous leadership has no match in any other faction. Use it wisely! it will work great with the Nazgul wolf pack that I've explained earlier. the more Nazguls you put together near the WK the more you maximize the effect (sometimes the normal ring hunter would reach an attack of 700+!!). the leadership also work on fellbeasts! try a flying wolf pack
Pay attention that once the enemy sight the WK in your army, the whole force would most likely focus on him! I think that is why people get the impression that he dies easily.
Try to use the Half-Health Rule (as I like to call it
).
WK also work on Horse/foot! (people tend to forget that). the other part of your leadership is and army/enemy buff/debuff, so placing the WK at the center of your army is not a bad idea. at lvl10 the WK is unmatched, the Hour of the Witch King is actually an amazing power; once you sight (for example) Gandalf, use it right away! you don't need those wizards to ruin your day^^ You also have a Murgul Blade for that matter! although I've never yet tried it, it may very well work that after you reset enemy hero, you can pin him down with Morgul Blade, and kill him with the rest of your Nazguls (on the matter of anti-hero, try to attack with all the Nazguls near the WK together. remember the 700+attack?!).
Flaming Sword is also an amazing way to break the concentration of enemies (well it's basically a WoP that leaves the enemies burning) XD
Nazguls with battle armor are trickier to manage:
they're slightly more durable, but still you can't throw them an expect them to hold. they won't.
The Shadow Prince and the Dark Marshal shine through their powers, especially DM who has an amazing power to make the armor of the enemies =0 you don't really kill them, but you make even a Citadel Guard a couple-of-hits-kill for a normal Orc.
SP also has a somewhat tricky passive power. He makes the enemies suffer damage by just attacking him! I've found out that this may work great with DM's power, and in cases of archers. however: THE Half-Health Rule!
of course all of this is under optimal conditions. the enemy can always counter you in many ways. As said, due to the Nazguls being so versatile, it really depends on your situation.