I always wondered if they levelled with you. It seems to me Lydia doesn't seem as tough as when I first got her.
I like Jenassa because I'm role playing a warrior who can't pick locks, and she's good at that. But I don't feel as warm and fuzzy to her as much as Lydia.
Followers have their stats locked the moment you enter the cell they're in. If you enter Whiterun and first see Lydia at Lvl 6, her stats will be permanently locked, even though her overall Level will increase. Which is why followers you meet early on tend to get their ass kicked hard later on. There are two known fixes for this. If you're on PC, you can simply open the console menu, click on the follower, type "Disable" and then "Enable", and it re scales them to your lvl. If you're on Xbox 360 or PS 3, you can use the Wabbajack on them after dismissing them, and have them transform into a creature/dremora. When they transform back, it re scales them. This one has just recently been discovered.
Mage wise, i'd have to say the best is Marcurio. He tends to have much more powerful spells and a better AI than J'zargo. I haven't really messed around with any Warrior or Stealth followers yet.