Mercy is not getting what you deserve. If you deserve to be punished for something, and that punishment is averted, then you have been shown mercy. In Christian theology, all people are sinners and all people deserve the punishment that sinful rebellion against God deserves. Biblically, this punishment is eternal separation from God (Isaiah 59:2) and death (Romans 6:23). Since all people have sinned, then all people deserve this punishment. But, God does not immediately exercise judgment upon those who have sinned against him. He lets them breathe the air, enjoy the sunshine, enjoy families, work, and the privileges of living in this world. Even though they are sinners and have greatly offended God, he shows them mercy by not exercising immediate judgment upon them.
Another way he shows mercy is in the person of Jesus Christ. Jesus, who is God in flesh (Colossians 2:9; Philippians 2:5-8), bore our sins in his body on the cross (1 Peter 2:24). If we trust in what Christ has done on the cross, then the full and eternal mercy of God is manifested to us, we escaped the judgment of damnation, and we then are able to spend eternity in God's wonderful presence. This is the greatest act of mercy anyone can experience, and it is found only in the person of Jesus Christ.