Psalm 51:1, Have mercy on me, O God, according to Your covenant love; according to Your abundant compassion, wipe out my transgressions. (Own Hebrew translation.)
“Lord, have mercy.” We pray this prayer in multiple contexts: when we confess our sins, at the end of each petition during the Prayers of the Church in the Divine Service, when a loved one is dying or severely ill, and when the world makes love with evil and iniquity. This psalm is a prayer for ourselves; it is a penitent prayer. Only God’s mercy can save us from the world, the Devil, and ourselves. Thus, when we come to God and say, “Have mercy on me, a poor sinner; take my transgressions from me,” He has the compassion to do so, for such a confession trusts in God’s promise to do so.
Jesus Christ is the advent of this promise. God had mercy on you by sending Jesus to die in your place for your transgressions against God, taking God’s wrath upon Himself in your place. In Christ, your transgressions are totally wiped out. Therefore, when you pray, “Lord, have mercy” for your sins, you can trust God’s mercy and compassion in Christ to take your sins away.
The Lutheran Column 