Of the airplanes you have discussed, the ones I have experience with or have looked closely at in addition to the Commander are the Conquest II and the Merlin IIIB/C. I have some experience in the Cheyennes, and honestly I wouldn't go there. Talk about lack of support!
I haven't flown the Conquest myself, but have several friends who have a lot of experience in them. They won't shut up about how great it is. They just love the airplane. That said, it is lightly built, doesn't have great support, and has the SID issues mentioned above. I chose not to get a Conquest because I have a lot of experience with Commanders, a service center on my home airport, and a pool of guys who could fly a trip for me if I needed someone.
The Merlin IIIB is an airplane I have quite a bit of experience in, and an airplane I like a lot. They are fast, have a great cabin, fantastic environmental system, and parts commonality with thousands of airline versions (Metros). They also have excellent range (especially the IIIC), although not if the seats are full. They aren't particularly fun to fly, and not great short field airplanes. And they require a mechanic who knows something about the type. I didn't go with a Merlin because I didn't need or want the large cabin (wife didn't really want all those seats-- she felt that family members would tend to invite themselves along), and the short field aspects are somewhat limiting.
If you get a Merlin, I would get a IIIC, and I would make sure it has water injection if you intend to take off or land anywhere much above sea level.
The Merlin is also much more challenging to fly than the Commander. Most of my experience in Merlins was in a two pilot environment, and until you get very comfortable, I would suggest that's what you should do. The Commander, on the other hand, is about as easy an airplane to fly as any turboprop-- and easier than the PT6 powered airplanes you mention.