Did he actually exist though? Was he purely an embroidered figment of Geoffrey of Monmouth, loosely based on Myrddin Wyllt, a North Byrthonic poet (and madman apparently) and Ambrosius Aurelianus, a Romano-British leader - Merlin Ambrosius ? He was apparently born of a mortal woman by an incubus from whom he inherited his magical powers. Was Geoffrey of Monmouth drawing on local Welsh legends and trying to give them more credence in his book, Historia regum Britannia.
It would take me all day to write a precis of Merlin's history and his connections with Arthur, so I would direct you to these links:

HERE is a link to an interesting site which tells you about Merlin's Prophecies. HERE is a Wikipedia link which tells you about Carmarthen and its history, including Merlin. HERE is the Wikipedia link about Merlin, which is excellent.
Forgive me for the abruptly shortened nature of today's post, but two paragraphs in and I became aware that my brain was not in the same room as my body . . . I will try to do better tomorrow!

As for Merlin's tryst with Nimue, the Lady of the Lake, here in Carmarthenshire we have a legend associated with Llyn-y-Fan-Fach. As with Merlin's there is a Lady in the Lake associated with magic (the Magicians of Myddfai are said to be descended from her). Makes you wonder doesn't it? But that's a post for another day.
Mysterious Llyn-y-Fan-Fach at the roots of Bannau Sir Gaer. Here is an amazing link to a panoramic view. Enjoy.