The Witch-king was probably more powerful than Gandalf. Sauron was becoming stronger and stronger and the Nazgul were fed by Sauron's power. At the beginning of the FotR Aragorn could drive them off with fire and at that time Sauron was weaker, however by the time of the battle of the Pelennor fields the witch king was considerably more powerful and I have no doubt that he could have beaten Gandalf as he was second to Sauron only.
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