To be honest, I've never been too crazy about the merchant line, but I could see it being a gain early on in the game.
I'm not crazy about it either, but if you're on a tight budget and need more troops than you can currently pay for, it's a decent choice.
Armies do get expensive, but I've never found that the merchant is going ot make or break.
It depends a lot on just how large your armies happen to be, and how big your empire is (including Town vs Fortress vs Conclave balance, world resources, and city enchantments). If I have two or three towns already, I probably don't need anything from the Merchant line unless I have enormous armies. If I'm still on my first city, which may or may not be a town, and have to fight tough enemies to expand, Merchant I (or Merchant II if the first or second champion already had Merchant I) becomes a bit more appealing because it will fund a few extra groups of troops (of course, if you have to fight tough enemies to expand, a low-level commander probably wasn't the best choice of champion). Late game, it's more for increasing the speed at which I can gain the gold to fund equipment purchases for champions, or for rush-buying stuff in high-unrest cities. In neither case is it likely to be essential, but it can be useful.
Out of curiosity, how are you leveling your commanders later on in the game? Early game will be like any other champion, but later on, they're going to end up becoming pure support?
Generally speaking, I only clear lairs which are within my own borders, and I don't always clean out all of the Wildlands, because those tend to spawn relatively large armies of decently strong monsters that I can fight to pick up reasonable amounts of experience. If Altar is in the game, I also might try to stay friendly with them (and also keep them alive) in the hopes of buying Quest Maps from their shops to help with late-game leveling.
Now, as for the differences based on how I want to use my commanders: I have two categories of commanders - Field Commanders, who lead armies, and Governors, who sit in cities reducing unrest. Field Commanders have priority for anything that grants experience until they have both active abilities, and sometimes until they have the Trainer line (though I personally don't like the Trainer line enough to go into it very much). By the time they have this, they'll be granting their armies +3 initiative and +50? accuracy, and they can almost ensure that the entire army has first strike. Governors, on the other hand, are at the very bottom of the priority bucket for gaining experience, especially if they already have a level or two of Administrator. If there are available weak monsters who aren't worth going after with one of my main heroes, and a Governor is nearby, they might be sent after it, because improving the unrest reduction or getting a small research bonus or extra gold income is useful, but not usually to the point that I'd send them instead of a different champion I'd like to level a bit more (Mages or Field Commanders, usually). Also, for any champions that are not commanding armies (or not waiting for their new army to assemble), if there aren't any settlements that I think are particularly worth stationing those champions in for unrest reduction, I'll pile them on wherever I built the Adventurer's Guild. Sure, it's not likely to do anything for them in terms of actually gaining a new level since the experience gain rate is so insignificant even at low levels, but it'll push them a little closer so that maybe instead of fighting a Lord of the Flame with accompanying shrills and Fire Elementals to pick up another level they might only need to fight a couple Ogres.
As for how I play Field Commanders - usually, I'll end up trying to get them some decent support spellbooks (Air I, Water I, Life or Death if they came with it, perhaps Earth, but not Fire unless I've nothing better to give them, but Fire Mages usually get Path of the Mage if I have the choice) and then playing them as a support Mage with a few extra abilities and better armor. Haste, Slow, Growth, and Heal are excellent spells, and Path of the Mage doesn't really do much for them (alright, Heal gets a nice bonus from Compassion, but Haste and Growth don't really gain anything, and usually mid-level champions or better don't have too much difficulty overcoming spell resistance). This keeps them off the front lines, which allows me to delay giving them Chain Proficiency or upgrading their armor, which lets me get through Leadership and into Tactician a little faster, and gives them something to do once it becomes a bad idea to put them in the melee line (early on, or fighting monsters, it isn't usually a problem; when facing decent troops or some of the stronger monsters, it can become a problem if they are in the melee line). I prefer to equip them with daggers or swords, since that gives them more opportunities to cast support spells or use their two active abilities; if it's early enough in the game, I might give them any ranged weapon I find just so that I have some kind of ranged support for weakening enemies, taking out archers, and finishing off runners.
I've used warriors and defenders very aggressively. I personally also use a lot of mages. I have to admit, I have not been using commanders very often as I have not found them that potent. I suppose I should give it a try.
Word of warning: Warriors are great early game, and Defenders are decent. Early game is precisely when commanders are at their weakest unless you just really need that extra gold from Merchant I starting at level 4, because even though Leadership means your troops hit more and Command lets you make a unit go again, you just don't really have the hard-hitting ability of Warriors or the endurance of Defenders. If timed correctly, the extra attack from Command can be a lifesaver, but as with critical hits you shouldn't be planning your battles to rely on that ability, because sometimes the initiative order just won't play along, and sometimes units don't make their hits. Play your early game low-level Commanders as you would a low-level early game Mage, and possibly develop the Commander into a support spellcaster if you've got the right spellbooks on them - just don't count on always having the spell mastery to overcome enemy spell resistance until your Commander is high level.
Also, if you're going to make your sovereign be a Commander, or if you want to make your first champion a commander, Air and Water are good spellbooks to have, because Haste and Slow are cheap spells even without the bonuses from Path of the Mage, and later on they'll further reinforce the initiative disparity between your Commander's army and your opponent's army.