It's probably the first follower they worked on and did everything right. The others they played with "roles". I'm just guessing here. Farkas runs off. Vilkas runs off and so on.
Yikes. That svcks. Sounds like Oblivion's followers.
It's probably just their "role", though. I just went on UESP. Accordingly, as described by UESP...
Farkas is a Nord member of the Companions who has a reputation for being a skilled warrior, if a bit slow at times
Vilkas is described similarly...so we have a couple big, dumb warriors. Probably great in a battlefield situation, but I'd hardly expect them to be good at stealth.
Try http://uesp.net/wiki/Skyrim:Jenassa. She's a ranger and like I said, she stealthed pretty good. The only downside was her fee of 500 gp, but I personally don't consider this a downside. She's well worth the cash, and
Spoiler
if you adventure with her long enough, she'll even waive her fee if you decide for some reason you don't want her around anymore