If you move the return statement to inside your conditional blocks, you can clean up your headA > headB code by just allowing it to return headB. Here's my solution in Java:

Node MergeLists(Node a, Node b) {
    if (a == null) {
        return b;
    } else if (b == null) {
        return a;
    }

    if (a.data < b.data) {
        a.next = MergeLists(a.next, b);
        return a;
    } else {
        b.next = MergeLists(a, b.next);
        return b;
    }
}

You can also test for one node == null at a time as I did; if either is null it returns the other, and if both are null returning the second node still returns null which is equivalent to what if((headA==NULL)&&(headB==NULL)) does.