The definition of mercy also mentions compassion. To have compassion on another is to suffer with them. In Christ Jesus, then, mercy reaches its epitome in his suffering not only with us, but for us.
The very first gift our resurrected Lord gave to his beloved bride, the Church, is the sacrament of mercy, that is, the sacrament of penance, known also as confession. It is by means of what we might call this sacramentum misericordia (everything sounds better in Latin, right?) that through Christ and by the power of the Holy Spirit we are reconciled to the Father. It is a beautiful thing, is it not?
I have a couple of stock phrases I use when preaching and teaching about the sacrament of penance. The first is, "You don't go to confession to admit your failure. It's where you go to claim the victory Christ won for you." Secondly, "You don't go to confession to find out whether or not God will forgive you. You're always already forgiven in Christ. You go to confession to make forgiveness real, to experience it." It is so we can experience God's mercy firsthand that the sacrament of penance is a liturgical rite, liturgy being something we do and not just something that clutters up our head-space.
Experiencing God's mercy for ourselves is vitally important because we need to learn to trust God. How do you come trust someone? In order to trust another that person must prove himself trustworthy. God wants to show us that we can trust Him. What better way to build trust than to be merciful to us? Think about how many times in life you've screwed up and realized you screwed up. You were sorry for what you did and had a firm intention of not doing it again, but you still had to face the wrath, the punishment, you had coming. This can be disheartening and perhaps leave you feeling bitter and defiant, less contrite than you were before. Even when you recognize the punishment is just, it can be difficult to take. Contrast that with a time when you messed up and were treated with mercy and understanding by the one who was in a position to punish you. God is like the latter, not the former.
While God's mercy doesn't spare us the natural consequences of our sins or even necessarily the temporal punishments due them, for the sake of Christ's sorrowful passion, the eternal punishment due our sins is completely wiped out. I believe, too, based on my own experience, which, as a sinner, is quite extensive, that God gives the true penitent the grace s/he needs to deal with consequences of her/his sinful behavior.
St. Faustina began a passage of her journal by paraphrasing 1 John 4:18:
Love casts out fear. Since I came to love God with my whole being and with all the strength of my heart, fear has left me. Even if I were to hear the most terrifying things about God's justice, I would not fear Him at all, because I have come to know Him well. God is love, and His Spirit is peace. I see now that my deeds which have flowed from love are more perfect than those which I have done out of fear. I have placed my trust in God and fear nothing. I have given myself over to His holy will; let Him do with me as He wishes, and I will still love Him (Diary of Saint Maria Faustina Kowalska #589)God doesn't just command us to love him with all our heart, might, mind and strength, he wants us to experience his love for us and then respond in love. God sent his Son because he loves us. Jesus subjected himself to his passion and death for love of us. It was the power of love that raised Christ from the dead on the first Easter morning. The power of the Holy Spirit is nothing other than God's love active in the world, the Holy Spirit being nobody apart from the personification of the love between the Father and the Son. Our risen Lord breathed on his disciples, thus infusing them with the power of the Spirit to be agents of God's mercy (John 20:21-23).
"Those who sincerely say, 'Jesus, I trust in You' will find comfort in all their anxieties and fears" (Pope St. John Paul II, who passed into eternity 11 years ago yesterday).