Barlog has a good kill/time ratio, and it is cheaper and wait time is shorter than Nazgul. However, as Python said, it can only be used on 1 map and in 2 parts, and it also can die pretty easily when you get swarmed by dwarves. (Like, 5 dwarf soldiers and 7 archers using their picks. Not cool.)
Nazgul has a better kill/death ratio, however it is more expensive, and you get less kills per game (which leads to less points and possibly not getting mvp. It can be used in 3 map, however it is only best on one of those, Minas Tirith.
Additionally, Nazgul is a skill class while Balrog is pretty much a upgrade from normal soldier. Although Nazgul can be very op with a lot of practice, I would suggest Balrog if you are aiming to get all of the classes anyway, since you can rack up points easily.