We never really know enough to have an accurate conclusion to the fates of the previous heroes...
But IMO, they all equal out in the end (hopefully), I mean at least between the last 3 heroes...
The neravarine, started out as a commoner and by the end of the MQ, if what Vivec said could be trusted at all, then with the aid of wraithguard the nerevarine was connected to aetherius thus gaining at least a tiny fragment of divinity. Not to mention being immortal and all. Potentially he's also the most famous god-killer of the series having Dagoth, Almalexia and an aspect of Hircine under his belt. Also judging by the game-world he developed as a character in, he's probably much better at magick then the next heroes.
The CoC, apparently depends on us players individually if he/she did or didn't become Sheogorath, if yes the CoC is potentially the most powerful of them all, and if not, the weakest since he/she remains a mortal with otherwise no special powers.
The Dovahkiin starts out the best out of them all, he/she's special from the start, and doesn't seem to gain any new power by the end of the game except maybe experience and dragon souls, though he did defeat Alduin and Miraak which is saying a lot, so maybe he's more special than most dragonborn. His/Her only lasting weakness is perhaps being mortal, compared to the other two heroes who became immortal.
This can go many ways though. I know the rock floating over Vivec city was thrown by Sheogorath, and stopped by Vivec and kept there so he could get his kicks watching it every morning thinking how awesome he is and how much his people love him for it, but then he wasn't powerful enough to face Dagoth Ur, which the neravarine did and won. And I assume the neravarine wouldn't just get fat on sweetrolls for the rest of his/her immortality. The Dragonborn, I actually think he/she would put to use all that knowledge and souls he/she's absorbing from dragons and maybe become immortal and/or semi-divine.
So in the end maybe they all equal out somehow. though I still think being a daedric prince means insta-win... this is all rather hypothetical...