Mercy is War's personal handgun. The achievement/trophy "An old friend" is unlocked upon gaining it. Once you kill the Griever, War walks in on Ulthane pounding away at it on his anvil with a hammer and gives Mercy to War. With it War questions the blacksmith while Mercy aimed at his head. Mercy generates its own supply of ammunition, so it doesn't have to be reloaded. Mercy, even though it deals little damage per shot and slows War down significantly, fires incredibly fast (as fast as the player can pull the trigger or simply at an astounding speed if the player simply keeps the trigger pressed), and can be used whilst riding Ruin. In skilled hands, the gun's endless fusillade of bullets can cut down an entire enemy regiment. Mercy is arguably the most effective firearm in the game, and in the right hands can turn War's enemies into demonic or angelic swiss cheese. This weapon is necessary for taking down Ashworms, including The Stygian, one of the Chosen.
Mercy may have been handed down to to War by Strife; but many people have assumed that Mercy may have been left on earth from the last time that Strife had been there, but since Ulthane "The Black Hammer" was building it in front of you, then we must assume that it is a copy. As with the Crossblade, the damage Mercy does is greatly increased once War has obtained Strife's Offering.