All are good. For pure support casting, the budget wraiths (2/7-10/1 or so), are probably the best because you can fit more in the list aside from them, and can fit 2 for close to the cost of a named wraith, but they will never be used for combat. While they are technically less "points efficient" than the named wraiths, you can choose how the points are distributed, meaning more might and wounds (if you just go for the 2/7/1), which are, in a number of cases, going to be much better than the special rules. And, with more than one of them, you can deal with more threats or force spells through when you need to.
As far as named wraiths:
For combat: Khamul (kills warriors the most efficiently; must be on fellbeast to make the most use of his special rule), The Knight of Umbar (Great vs heroes with high fight/attacks and monsters), The Betrayer (great for guaranteeing kills with the re-rolls to wound; gets more benefit from the fellbeast than almost all other wraiths (khamul being the only one with a larger benefit))
For spell casting: The Witch King (Anti-wizard, extra might, fate, and spell over other named wraiths rather than a special rule) The Undying (hardest wraith to kill; very safe, not too much risk in committing to combat, especially paired with other spell casters)
Support: the Dark Marshal (better combat; F6, so he is better vs armies with max F5, like Rohan and most Gondor or evil armies, and he can fight non-character elves without risking a draw), Shadow Lord (anti-shooting), Dwimmerlaik (anti-hero; never engage in combat; vulnerable due to lack of might), Tainted (anti-heroics: tons of potential with movement control, and probably the best wraith against(or with) cavalry; do not take without a taskmaster to boost might and don't put in combat. Probably the hardest wraith to use effectively. Would likely pair with the shadow lord in 1k+ games, but would generally not take as his role is more specific than most of the other wraiths, unless you are taking a good number of cavalry models in your force and absolutely need to control movement.)
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