W opens the Specials menu

5 is the Merge tool location in 2.49b Specials menu

3 is the Merge tool location in 2.5alpha2 Specials menu

Entering the Merge tool opens a sub-menu with merge location choices

Merge is good when precision is needed but as RobynsVeil said, slow.

Remove Doubles has a bug in 2.49b that can cause merging errors so always check after using that option.