Mount/Dismount - Level 1
Chase - Level 3 (+20% speed, +50% trample damage and can trample more units)
The Aura of Death - Level 6 (nearby enemy units get hurt while being near the Nazgul or attacking him)
Screech - Level 8 (Fear)
Instead of "Aura of Death" how about calling it the "Black Breath" since that is the malady which Eowyn and Merry got from the Witchking.
"Morgul Blade" might be done as a single stroke heavy attack (simaler to a non-ranged 'Smite') or a damage/speed increase like 'BladeMaster'.
As for the new Heroe skins: they look great so far. I'm really looking forward to seeing what Aragorn looks like.
D.O.P.R