Of the three epic heroes the Dwimmerlaik is my first choice, as he helps prevent your opponent from abusing his might.
The Witch-king comes in second.
His ability really helps you outmanuver your opponent.
This is particularly important with Angmar because of its lack of cavalry.
The Tainted comes in a close third.
His ability is very useful inconjunction with the Ghostly Legion.
Burhdur is my first choice of the legendary formations.
He has a low points cost and can ambush your enemies.
This is particularly important, as archery can cut down your spectral host in no time flat.
Gulavhar is the heavy hitter of the force.
However, he is still very vulnerable to archery or large units.
I would definitely recommend allying with the Shadow Lord to help keep your spirits alive.
Most people are tempted to go all out and get lots of ghosts.
It is very important to take enough Orcs or even Carn Dum Warriors so that you are not vastly outnumbered.