Mercy
Eph 2:3-5 (NIV) ...Like the rest, we were by nature objects of wrath. But because of his great love for us, God, who is rich in mercy, made us alive with Christ even when we were dead in transgressions--it is by grace you have been saved.
A good way to understand the meaning of mercy is to see how it relates to grace:
Mercy--not getting what you do deserve / withheld punishment
Grace--getting what you don't deserve / unmerited favor
Mercy is like a judge finding you guilty, but then withholding any punishment. Grace is getting something you could never have imagined.
An inexplicable gift. It's like the same judge awarding you $10,000,000.00, after finding you guilty!
In this sense, mercy can be thought of as the opposite of grace, or perhaps more correctly--the inverse. The words are normally used in Scripture as defined, though occasionally the distinctions are blurred. In Greek as in English, mercy can also mean pity or compassion.
Ex 33:19 (NIV) ..."I will have mercy on whom I will have mercy, and I will have compassion on whom I will have compassion."