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.