Mercury and the Moon are both fairly small and covered in bare rock. Their period of rotation is slowed by the gravitational pulls of their primaries, though in the case of Mercury the rotation is not synchronous. They have virtually no atmosphere and are heavily cratered. There is a dramatic difference between the day and night temperatures.
Concerning differences, Mercury is denser, has a strong magnetic field and is hotter during the day. Its gravity is higher and its atmosphere, though thin, is denser than the Moon's. It's a planet rather than a Moon. There are large, smooth plains of solid lava on the Moon, unlike Mercury, which is more heavily cratered.
