Both quicksort and mergesort can work just fine if you can't fit all data into memory at once. You can implement quicksort by choosing a pivot, then streaming elements in from disk into memory and writing elements into one of two different files based on how that element compares to the pivot. If you use a double-ended priority queue, you can actually do this even more efficiently by fitting the maximum number of possible elements into memory at once.
Mergesort is worst-case O(n log n). That said, you can easily modify quicksort to produce the introsort algorithm, a hybrid between quicksort, insertion sort, and heapsort, that's worst-case O(n log n) but retains the speed of quicksort in most cases.
It might be helpful to see why quicksort is usually faster than mergesort, since if you understand the reasons you can pretty quickly find some cases where mergesort is a clear winner. Quicksort usually is better than mergesort for two reasons:
Quicksort has better locality of reference than mergesort, which means that the accesses performed in quicksort are usually faster than the corresponding accesses in mergesort.
Quicksort uses worst-case O(log n) memory (if implemented correctly), while mergesort requires O(n) memory due to the overhead of merging.
There's one scenario, though, where these advantages disappear. Suppose you want to sort a linked list of elements. The linked list elements are scattered throughout memory, so advantage (1) disappears (there's no locality of reference). Second, linked lists can be merged with only O(1) space overhead instead of O(n) space overhead, so advantage (2) disappears. Consequently, you usually will find that mergesort is a superior algorithm for sorting linked lists, since it makes fewer total comparisons and isn't susceptible to a poor pivot choice.