Mercenaries have between one and four bars of shielding; as is the case with all enemies in Mass Effect, it will regenerate over time. Their health also regenerates, and some of them can use Immunity. On Insanity, they may also use Shield Boost. They will take cover quite often and flank you if given the chance to do so.
Mercenaries will usually start off with assault rifles, but switch to shotguns at close range. Using Sabotage will simply force them to switch to their other weapon, rather than leaving them completely defenceless like Geth Troopers.
Krogan mercenaries will have more health than other species and can charge you at close range for melee damage. They will also be able to get back up the first time they’re killed. Equip Chemical, Incendiary and High Explosive Rounds or kill them in the air (possible by using Lift, Throw or Singularity) to prevent this revival and use Throw and Neural Shock to counter their charge.
Some "plain" mercenaries, such as the one on Chohe, can use Damping and Sabotage, even though they are not labeled explicitly as engineers.