All Companions can do their good deal of Damage, you just need to outfit them with the best Weapons and Armour!
I have not experienced all of the Companions yet, but I do like the Housecarls you get for being a Thane of a Jarl!
Also when you complete the Companions Guild questline almost all of them can follow you, and they are particularly tough and lethal!
My favourites though, definately are the Dog companions! I love Meeko (Found near Morthal) and I love the talking dog (Cant remember name, found near Falkreath)