All glyphs in a font should have the same optical weight. They should each look as light or as dark as all the others. This does not mean that they must all have strokes of exactly the same thickness. But it should appear that they do.
This is especially important for Superscript/Subscript characters (like ¹²³ªº), fractions, small caps, and legal symbols (™®©). While they may look simply like smaller versions of other characters, they’re not. Scaling down the bigger forms of these glyphs (e.g., making the ™ out of a scaled down T and M) is wrong. If you do this, these glyphs will look too light and will make text look uneven. If you scale glyphs down, you should adjust their weight afterwards, making them a bit bolder and sometimes also a bit wider. Make sure that these characters also match the style of your font. For example, a Script style font with a Sans style trademark symbol won’t be very useful for customers!