What is mercy? And what is the meaning of: "O Allah, have mercy on me"?

In language, 'rahmah' (mercy) means tenderness, gentleness, and compassion. It is one of Allah's essential and active attributes, and His mercy encompasses all things. 'Rahmah' is also used to refer to Paradise, sustenance, and rain. When a supplicant says, "O Allah, have mercy on me," it includes these matters and other aspects of Allah's vast mercy. Mercy attributed to Allah is of two types: the attribution of an effect to its doer (which is a created mercy, like Paradise and rain), and the attribution of an attribute to its possessor.