Well in the account in Unfinished Tales of the Hunt for the Ring, the Nazgul do act as if they have their own minds, (to an extent - see below [img]smilies/wink.gif[/img] ) as the With King gives them orders, they act independantly of each other, they have to return to the Witch King, etc.
However, it seems that any and all independance they have can only be used for furthering the cause of Sauron - there's no chance of individual goals or betrayal in there.
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