The whole decline of Skyrim's Thieves Guild was due to Mercer Frey's betreyal and the severing of Nocturnal's ties to the guild but in Oblivion the Grey Fox was reasonable successful even though Nocturnal hated the guts of whoever was the Grey Fox at the time. So Grey Fox > Mercer Frey?

Edit: i just noticed the mistake in the thread title.

Grey Fox easily beats Mercer in all aspects, really. Mercer, like most of the others in the Skyrim Thieves guild, was just way too traitorous and unlikeable.