I've only seen a few episodes (and half a film) of Highlander, and I never really understood the Quickening:
The Quickening is the receiving of all the power and knowledge another Immortal has obtained throughout his/her life.
If that were true, there would be enormous differences in power between two Immortals (an old Immortal being a thousand time more powerful than a new one for instance).
But it seems to me that all of them are very close in power. How is that possible?
Immortals aren't Jedi, so all this "power" talk is not very precise.
They are still humans, with human bodies and associated limitations on muscle power, reaction speed etc..., so they can't increase "power" per se other than via combat training.
The only real non-human "power" of an Immortal may be the power of healing/regeneration (aside from "Buzz") in movie/TV canon. Presumably that healing power can grow with each Quickening, but I'm not aware of canon support for such a guess.
What does grow is combat experience/skill/fighting knowledge/etc... - the quickening evidently has a mental/emotional component, as evidenced by "Dark Quickening" examples.
Caveat: in the rare cases when an Immortal does posess super-human powers (e.g. Nagano sorcerer's illusions from HL3), those powers can be absorbed through quickening. But that is rare - the only other Immortal in movies/TV with superhuman powers is Guardian of the Source with super-human speed, and we don't know if that was Quickening-transferable.
Immortals remain close in power because all Immortals are in an arms-race and each is growing in power. There is also an element of chance in their combat that ensures that younger Immortals sometimes upstage their elders and take their heads against the odds - which upsets the balance of power.
For example, we see many beheadings by Duncan MacLeod, and a few by Methos and Amanda, but this is only because of the focus of the series. It is clear that many Immortals (Kalas, Damen Ross, Slan Quince, etc.) are actively pursuing as many heads as possible, so they are matches for MacLeod when they meet. An Immortal who takes time off from the game can quickly get back into form by taking a head - for example, Methos uses MacLeod to stalk and hunt Kristin, and when MacLeod declines to take her head, Methos kills her.
By doing so, he takes all the power she has absorbed by killing other Immortals (Methos notes her body count is quite high) and instantly comes on par with Immortals who have been actively playing the Game for the last two centuries. (Methos pretends to have an elusive nature, but in reality, he could likely defeat MacLeod. Kalas defeated MacLeod, and Methos fought Kalas to a draw even after a 200-year hiatus from active combat. MacLeod only defeated Kalas because his sword had superior metallurgy and shattered Kalas's sword, which might have been damaged from his recent combat with Methos, who also used a heavy Viking-style blade. If Kalas's blade remained intact, he'd likely have taken MacLeod's head.)
Also, accidents happen. Mako, for example, could easily defeat Ritchie Ryan. However, a chance stumble left him vulnerable, so Ritchie took his head. This gave Ritchie the power of an 800-year-old Immortal, which is why Ritchie successfully defeated many older Immortals who underestimated him. It was Mako's power and skill that allowed Ritchie to triumph.
The nature of "power" in the Highlander universe appears to be the knowledge of each Immortal, and a subconscious ability to influence mortals around them. This accounts for the extreme sexual attractiveness of Immortals, their apparent ease at hiding themselves among mortals, etc. AnImmortal with the combined power of all Immortals has total psychological control over the entire mortal world, and the knowledge to rule effectively. How they use that power depends on their morals and personality - an evil Immortal would be an anti-Christ like tyrant, while a good Immortal would take humanity to the stars. An immortal becomes a better fighter by learning the moves known by his defeated opponent, but after several Quickenings, an Immortal likely knows all there is to know about sword-fighting. (And this knowledge still needs to be practiced, just like knowing how to play a guitar.)
The knowledge of languages, science, architecture, psychology, etc. that they absorb doesn't make them better fighters - but it makes them better Immortals, able to amass fortunes and slip through the world unnoticed. Had Kalas defeated Methos, for example, he likely would've become a marginally better sword-fighter - but his real advantage over MacLeod would have been a new brilliance in manipulation, strategy, and ability to anticipate outcomes that would have been far beyond MacLeod's.
The thing is they are most often relatively near in power (at least portrayed that way), but often there are counterexamples where they are quite far away from each other.
