To be fair, they never really went away in Africa, or the Middle East. Britain managed to retain an informal empire after the collapse of the actual one in no small part due to a mercenary, namely Col. David Stirling (founder of the SAS).
I'd be interested to find out if a greater proportion of mercenaries nowadays are state-sanctioned/linked (ie Blackwater, DynCorp etc) or true freelancers, and the distribution of payment between those groups, though.