If fighting to the last man, I must admit it's pretty hard for my opponents to beat my skaven. Luckily for them, they just need to take out 25% (typically 4 models), cause skaven can't pass rout tests no matter how much loot is on the line.
As far as what warband to collect, try to pick one which fits your play style. It really does make the game much more enjoyable as you spend so much time growing and advancing your warband through a campaign. One of my bands I threw together mainly because I had the models, and I must admit I haven't had quite as much fun with them (however, they are slowly growing on me).
If you are wanting to start a human warband, don't feel restricted to the three in the main rulebook! There are many other official or thoroughly playtested human bands, including the kislevites, averlanders, and ostlanders, the latter of which attracted me due to the fabulous ogre and nature priest, two elements which the rulebook mercenaries lack.