Good morning friend, this is a fantastic question and I love it, the difference between mercy, grace and favour.
Mercy is the act of pleading and forgiveness, alot of us received the God everyday, because God is the only one who love most us In this world and in everything we do when we are ask for forgiveness of our sin, he will have mercy and forget it and he will tell us not to do it again.
Even those will repeat same thing mistake again and we ask for mercy he will give and forget, we received mercy from humans being too for example if we offend our parents, friend, boss, brother, husband etc if we offend them and we plead and they will forgive us that means we have received mercy them.
Grace this is the great at of all the three things and grace is forgive of past wrong done to you, this come form God and human being, but God own is powerful than you received from humans and this can be giving to everyone sometimes and sometimes is not everyone that do received it.
The reason why I said it is that we received the grace of God to be alive today and some do not receive the grace because they have dead, some received grace to enter heaven by mercy but some do not received the grace to enter heaven, likewise some received grace from humans and some did not.
Favour this is the act granted of goodwill and this can be receive for God and human being too, God favor in always because he loves us.
The three is important in our life and we can't do without them, because we need always.