The Companions are Madora, Jahan, Bairdotr, and Wolgraff. the good thing bout Companions is that if they leave the party, and later rejoin, they'll gain all the experience that they missed. Henchmen are the guys you hire from that guy in the Hall of Heroes. They do NOT gain XP if you take them out of the party and they later rejoin.
You should hire the mercenaries instead of the Companions if you don't like the Companions personalities, or if the main characters are already in a role that the Companions would just duplicate, or if you just feel like it.