The social quality of "mercy" in the Bible is not quite what we think it is in modern terms. Today "mercy" usually means that we cease to deliver a punishment that is justly deserved; or it means refraining from dishing out pain and punishment generally, usually out of pity. But that's not quite what the Bible had in mind, according to Pilch and Malina's Handbook of Biblical Values [92ff].
Hosea 6:6 For I desired mercy, and not sacrifice; and the knowledge of God more than burnt offerings.
Pilch and Malina note that in an ancient context, "mercy" is better rendered as "gratitude" or "steadfast love." One example of the expression of mercy would be "the debt of interpersonal obligations for unrepayable favors received." For a case like this, to say, "Lord, have mercy!" (Matt. 20:31) means, "Lord, pay up your debt of interpersonal obligation to us!" Not a plea of the hapless, it is in this case a request to pay back previously earned favor (as a loyal subject of the Davidic/Messianic dynasty).
Another example would be favor shown within a relationship of love in the collective, interrelational sense. Mercy can be shown simply by entering into such a relationship with someone, and beginning the process of reciprocal exchange of favor.
Mercy is also not involved with feelings of compassion, as today, though it is not mutually exclusive of it; in other words, you do not need to FEEL compassionate in order to offer Biblical mercy.
All of this is to be understood not in terms of a snotty and undeserving inferior needling a superior (as one might think of it today, to say that God "owes" us something), but as a natural facet of the client-patron relationship in which there is a relationship of "ongoing reciprocity," in which "those toward whom one has such a debt are equally obliged to maintain the relationship by further favors..." The blind men honored Jesus as the "son of David" and expected their recognition of him to be repaid with favor.
None of this is done with ingratitude, as one might suspect today, for God is said to be glorified for His mercy (Rom. 15:9). It is God's role as a patron to supply the needs of His clients (us) in steadfast love and faithfulness, and it is a role He has willingly and in sovereignty assumed. Pilch and Malina note that the relationship of gratitude here is indeed an "ongoing" one -- not "episodic" as it is in our culture.
And the implications of this? The proper social definition of "mercy" brings an interesting twist to, for example, the great Calvinist keystone in Romans 9: "So then it is not of him that willeth, nor of him that runneth, but of God that showeth mercy." Understood as the NT writers wrote it, this means: "So then it is not of him that willeth, nor of him that runneth, but of God that pays His debt of personal obligation to us as our patron" or as one whom instigates a patronage relationship.
For further exegesis of Romans 9 in light of this, see here.