Ok, so let me see, what you're saying is that I shouldn't be getting the Witch King into combat? Someone else told me that, but I thought that with the monstrous mount, he'd be good for both magic and combat. You'll have to explain the logic behind not putting him in combat, because I don't understand that. I feel the need to take the armoured fell beast for the safety of the defense 7. I guess I always bring a banner because I always felt that a re-roll in any situation was a good thing, probably because I always do it with my Isengard Uruk-Hai force, but they are fight 4, strength 4. I don't have a shaman on the list because 1) I don't have one on a warg, and haven't had the chance to modify one for it yet. The other is because with my uruk-hai shaman, people always tell me that the 5+ save isn't worth the points.

I agree with most the points Lordofthebrownring stated, and wanted to add a few of my own points aswell.

Personally I find the Witchking to be fairly lackluster, he's a decent caster, but Undying does it far better, and on a Fellbeast, no contest imo, especially paired with other magic users/ or Kardush especially. And if combat is what your looking for Knight of Umbar, Khamul, and Undying again are superior, with a good mention to the dark Marshal, if your still looking to add a banner ( 6 inch at that) which extends even further due to the beast.

Shamans are a most always worth the price of entry if you are fielding a force of likewise creatures, fearless and 1 in 3 chance to just ignore dying on troop models, is amazing. It gives you the extra bit of edge you need.

And on the Fellbeast saftey, basically what Lord was stating is that due to speed and in the ways, a beast will get to pick it's combats quickly, thus avoiding being shot mainly, in combat your looking to assassinate and pick decisive combats for hurling, etc. Not just charge them ad a front line beater, use a troll chief for that. The extra points are better used elsewhere imo.

I don't think that the Morgul Knights are so bad, expecially when leaded by a Nazgul (DarK Marshal for his Banner Effect). The Harbinger of evil + terror combo should make them relatively safe from counterchanging. But then, of course, most evil armies have access to shamans and Elves will probably be able to repel them and countercharge.
Point is, I don't think they are so bad. But I get LOTBR point, they are indeed expensive.

Shagrat is a excellent fighter. And Gorbag is a good choice, so you can spend his might for heroic movements and marches instead of Shagrat's. But you could also consider a Black Uruk captain. F5, S5, D7 and courage 6 when a Nazgul is around. Is a tough fella.

Then drop the Morgul Crown. If you want a fighting Nazgul, go with the Knight of Umbar on fell beast. His ability to mimic is amazing at this point level, where Big Heroes are usually around.
Immobilize, Charge, Mimic and Rend. Even Gil-Galad will have a tough time dealing with this.