Jared Poche continues a series on join types:
Merge joins traverse both inputs once, advancing a row at a time and comparing the values from each input. Since they are in the same order, this is very efficient. We don’t have to pay the cost to create a hash table, and we don’t have the much larger number of index seeks nested loops would encounter.
Read the whole thing. Remember: merge joins are also the best strategy for when two lanes of the road come together.