You could go Vengeance, it is a good subclass. In fact I have been almost a dozen games and every single Paladin I have seen has been Vengeance. Now I can't stand them. PLEASE DO SOMETHING DIFFERENT!
Another thing to consider about the Vengeance Paladin is if you play with the popular flanking house rule (which is terrible and I don't recommend it) getting Advantage with Vow of Enmity loses a lot of its value as getting Advantage has now become trivial (which is why I say it is a bad house rule).
Devotion's Sacred Weapon gives you a flat bonus to hit equal to your Charisma (+3 for you) and stacks with Advantage, it last for 10 minutes instead of just 1 minute, you can deal Radiant damage instead of your regular damage type, and your weapon looks super awesome because it is glowing.
Vengeance's Vow of Enmity does nothing but grant Advantage. It's good if you don't otherwise have Advantage, but other than that it is, in my opinion, boring.
Hunter's Mark is good, but it takes a spell slot, requires Concentration, and competes with smites for your Bonus Action. Plus, why do you want to do Ranger stuff when you are playing a Paladin? Divine Favor is only 1 point less, doesn't take Concentration, and is a Paladin thing you can do. It only lasts a minute, but if you are getting hit, you are going to lose your Concentration anyway.
Devotion spells are indeed already Paladin spells, but you now no longer need to prepare them and you can prepare other Paladin spells to be a better Paladin, instead of diluting your spells with other classes.
Finally there is the role-playing aspect. Do you want to be a grim-dark violent Paladin that is focused on Vengeance? Ruthlessly slaughtering those he perceives as Evil until he (or she) is hip deep in blood? If that is how you picture your Paladin, then Vengeance is indeed the way to go. But if you want to play the paragon of Good, the type of Paladin that people respect instead of fear, then Devotion is the way to go.
You mentioned Devotion and Vengeance, which is why I have been focusing on Devotion, but Glory and Ancients Paladins are fun too. And, again, in my opinion, less boring than Vengeance.***
*** Going to add this right now. I know people have fun with Vengeance Paladins. And like I said, if that is how you picture your Paladin, you should go with Vengeance because you will have more fun playing what you want. All of the Paladin subclasses are good, I just think Vengeance is the least interesting. And... SO... DAMN... COMMON!!! Ugh!
