The Bible tells us in dozens of places that God's nature is love, and His love is so powerful that He sacrifices for us. Grace in the face of sin is one of the first ways that God exhibits his love, and because of God's grace our sins are forgiven and we are able to be in relationship with Him. But, God's love does not stop just with grace, for his love also exhibits mercy. God could punish us for our sins, but he is restrained. That's his first act of mercy. And at times God may also mercifully lift us out of the misery of life, and we again get to experience his love.
Mercy is a relational characteristic, and it is a characteristic that has to do with devotion to another person that is less fortunate and in need or helpless distress. Mercy strengthens a person and thus the relationship.
Mercy is one of the contagious attributes of God that, if genuinely received, will become part of our makeup (other attributes include love, forgiveness). If it becomes part of us, then we overcome one of the biggest barriers to the conditioning that we receive as 21st century Christians - that is, we overcome the negative nature of pride and privilege.