I am going to disagree with the letter of Master
Kuruharan's reply--but perhaps in doing so, I shall be agreeing with him in spirit.
I'll start by acknowledging that there's a wide range amongst the servants of Morgoth listed--a Balrog is an incarnate Maiar whereas we know almost nothing about a vampire, but it seems reasonable to say they are not comparable in might. To compare all these disparate beings to the servants of Sauron is like comparing apples and the entire produce department.
That said, it is a worthwhile point, I think, to note that the Nazgūl really are the only creations of Sauron, whereas Morgoth produced many sorts of servants. This points to the ultimate disparity between them, and it is this disparity of potency that I think underlies
Kuruharan's firm assertion that there is no context here.
My personal thought, however, is that the Nazgūl might actually have been as terrifying as the creatures of Morgoth, because unlike the creatures of Morgoth, terror is their primary power. This got touched on in a recent argument here (the resurrection of the
Female Nazgūl? question), where
Huinesoron argues that martial prowess is not the chief purpose of the Nazgūl, making the point we do not generally see them take the field in battle.
This argument (not necessarily the conclusion that there ARE female Nazgūl) makes sense to me, and I think it applies here: FEAR is the main overt power of the Nazgūl. Think of Sauron's use of them during the Siege of Minas Tirith: to overwhelm the city's morale by their presence.
In other words, I think that the terror of the Nazgūl might well match that of something like a Balrog, because where for the Balrog terror is a side-effect of its dread form and demonic might, terror is the
primary effect of a Nazgūl. This shows the lesser stature of their creator. Morgoth doesn't focus on creating something that will wreak havoc on emotions: he creates something that will wreak havoc on matter--the terror comes from knowing and sensing that might. Sauron, being substantially weaker, DOES focus on terrorizing emotions.
(Of course, this entire post is avoiding the subject of whether Morgoth--or Sauron--can actually create anything. Suffice it to say that where I use the word "create" or imply something like it, I am using it most imprecisely.)
EDIT: Crossposted with
Inziladun.