This can happen also if u've applied some layer styles to one or both layers that are being merged.
This can be anything such as color overlay, satin, gradient overlay.

Maybe there are some of ajustment layers affecting the layers are to be merged.

Anyway try this:

1) Create a blank layer beneath each layer to be merged.
2) Merge each pair of layers (containig smth+empty) down.
3) Make sure that nothing changed. If changed play with opacity of each of two newly marged layers. At this step may happen u'll find out whats made you woory
4) If evrthn looks fine merge 'em down. It can't be the difference after merging.

If it still happens check, the color model of your document.
It has to be an RGB or LAB. It can't be CMYK or Indexed color so change it to proper value.

In case it everything won't help. U still can save the image like JPEG with high quality. Image has to be merged down correctly, so later u could import it to PS and continue working with it like with simple layer.

You really interested me with that case. Stay in touch. Want to hear the ending of story.








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