Jehovah
The Lord, in the simplest terms, is love itself expressed as wisdom itself. In philosophic terms, love is the Lord's substance and wisdom is His form. Of course, we feel the Lord's love and hear His wisdom in many different ways, depending on our state in life and how receptive we are. That's why the Lord has so many different names in the Bible, and is referred to in so many different ways.
Mercy
In regular language, "mercy" means being caring and compassionate toward people in poor states. That's a position we are all in relative to the Lord, all the time. Without Him we would be unable to choose what is good; without Him we would be unable to formulate a reasonable thought. Without Him, in fact, we would instantly cease to exist; we have life only because He constantly gives us life. So we are, quite literally, at His mercy. Fortunately, the Lord is caring and compassionate to a degree we cannot fathom. He is the source of all caring and all compassion, and of love itself. His mercy toward us never lessens, never abates, never ends; His whole purpose is to bring each of us, individually, to heaven. The meaning of "mercy" in the Bible is closely tied to this idea: it represents love in a general sense, and the desire for good that comes from love. It can also represent the desire for good and the ideas that describe it when those thoughts and desires are inspired by love of the Lord.