The closest planet to the Sun, Mercury, is a desolate rock and a planet of extreme temperatures.
The days are longer than its years, and it orbits on a tilt of about 7 degrees.
It has no moons, much like Venus, and is a mere 5% of the volume and mass of the Earth. Interestingly though, it could be considered as the closest planet to the Earth if you consider its average proximity to us over the course of an "Earth year".
Image Credit: NASA

While Venus and Mars come into much closer proximity, their relatively similar orbital periods mean that, once achieved, they go a long time before passing at their closest distance again. Where as, because the Mercurial year is only about 3 months, it passes its closest point to the Earth several times before Venus or Mars does.
In addition to this, because Mercury's orbit is a lot smaller in diameter than Venus' or Mars', then the maximum distance it can be from Earth is also a lot smaller. Venus, which could be considered the closest if you take the "closest proximity at any point" metric, could be as far away as 140 million miles when it's on the other side of the Sun, but Mercury can only be as far away as 110 million miles.
Interestingly, Mercury's orbit is fairly eccentric (basically a measure of how round an orbit is), meaning that its orbit isn't very spherical. Don't get me wrong, there are objects in our solar system on way more eccentric orbits... Take a look at this image for example.
That massive ring is the orbital path of Sedna, a dwarf planet in our solar system. You can see here that this orbit is extremely eccentric. Of course, there are known orbits of other celestial bodies with of greater eccentricity...

The same level of eccentricity cannot be said for any of the other 7 planets in our solar system, and this can have a substantial effect on Mercury's temperature ranges. At the moment, the record temperature on Mercury is about 430 degrees Celsius, and the lowest being a beyond freezing -190 degrees celsius!
But surely orbital distance can't be the only reason for that enormous range ?
Very true.
The planets in order of size, from lowest (Mercury) to largest (Jupiter)

Blazing hot and freezing cold - both at the same time?!
In fact, it's mostly due to an apparent lack of an atmosphere, which is itself due to a very relatively weak gravitational field strength. The mass of Mercury is only about 0.05 times that of the Earth, meaning that the Earth is about 20 times as massive. This tiny mass is what results in a weak gravitational field strength. In fact, the escape velocity on Mercury is only about 4km per second, compared to the escape velocity on Earth of 11km per second.
Couple this with the extreme temperatures that gases can get to on Mercury, and you end up with the atmosphere essentially having enough energy to achieve velocities higher than 4km per second, meaning that they simply run off into space!
Now it would be a perfectly acceptable place to be confused at this point, so congratulate yourself if you are.....
I mentioned that the Earth was 20 times more massive, but the escape velocity has only near enough halved ?
See this is because I didn't mention something else about the planet - While it's only about 0.05 times the mass of the Earth, it's also only about 0.05 times the size. This means that Mercury has a similar, albeit slightly smaller, density.
But why is this important ?
Think of gravity as being a result of an object's centre of mass, and the acceleration that you feel due to that object is levied on you're proximity to its centre of mass, rather than the object's total mass. The closer you are to the centre of mass, the stronger the attraction you feel due to gravity.
If you were standing on Mercury, you would be a lot closer to its centre of mass than if you were standing on Earth, by virtue of the differences in volume of the planets. This is why the escape velocity on Mercury is only about 60% of that on Earth, despite being 5% of its mass - because of the smaller distance to the centre of mass.
This is a really important concept to get your ahead around, and I know it can be difficult to do so when you've understood that gravity comes from mass, therefore the higher the mass the stronger the gravitational field strength. While that is true, failure to account for the distance away from the source of gravity will result in some confusion when we start to talk about more extreme objects like neutron stars and black holes.
Smaller objects have the "advantage", if you like, of being able to get their centre of mass physically closer to other matter than a larger object, and the closer you are, the stronger you can pull on everything. Technically, gravity isn't a force per say, but rather an effect of space-time curvature due to mass, but obviously you don't need to learn if you're just here for Mercury!
You can however, of course learn more about space-time curvature here.
I don't want to go off an a tangent too much, so forgive me if you're here to learn purely about Mercury, but I feel it's an important concept to learn as you start to understand the characteristics of black holes. Therefore, I'm going to attempt to explain it here but indented so you can skip past it if you're not interested:
Black holes form from the collapse of a massive enough star (over 3 times the mass of the Sun), and the result is a point in space where the gravitational field strength is so high that even light cannot escape past a certain proximity to the black hole, known as the Event Horizon.
The issue
But if the black hole came from a star, and some mass would've inevitably been loss in the supernova (or hypernova), then why is its gravitational field strength so much higher ?
Answer - it's not, but because the black hole is far smaller in volume than the star that it would've been produced from (we're talking less than 1%), then its density is significantly higher; black holes are the densest objects known to man, so dense in fact, that at the centre (called the singularity), the density is potentially infinite and all laws of physics break down.
Now think back to earlier - If you were to, and this completely unrealistic, but somehow stand on the event event horizon, then you're proximity to the centre of mass would be far closer than if you were to stand on the surface of the star that the black hole came from.
Therefore, the "force" of gravity that you would experience there would be higher, resulting in a much larger escape velocity, hence why even light travelling at 300,000,000 meters per second can't escape!
So hopefully that clarifies things even if just slightly. Essentially, just remember that while gravity is only affected by mass and distance, as described in Newton's Law of Gravitation, it's the distance that can be affected by density, since density = mass/volume
Image taken of the Supermassive black hole at the centre of our galaxy, Sagittarius A*
Credits: Event Horizon Telescope collaboration et al.

Moving back to Mercury....
So Mercury is the second densest planet in the Solar System, with the Earth taking the number one spot.
Density and Composition
In truth, this was an interesting discovery for astronomers, as Mercury actually contains the highest proportion of the heavier elements, with Iron making up about 60% of its body. However, as discussed in my articles about Saturn and Jupiter, volume can actually have a surprisingly strong effect on the density at the core of an object (or in this case a planet), due to gravity...
When you keep piling more mass on top of an object, because gravity is trying to pull all this matter to one place (the centre), the pressure at the centre becomes higher, therefore density can increase as atoms and molecules are squeezed together under this pressure. In the case of stars, this is to the extreme where atoms are essentially forced to collide with each other, but for planets, the pressure isn't quite that high enough.
This is why the Earth takes the number one spot over mercury - because its atmosphere compresses the core, increasing the density. The same cannot be said for Mercury ,as it's unable to hold on to any kind of atmosphere, with at best having a film of helium gas that just covers the rock.
To talk more about this, the discovery of helium gas was an important one for astronomers. It was first discovered by a space probe that's mission was to take pictures and perform various other analysis on the Mercurial world, and the findings suggested infrared emission that was later concluded to have come from a presence of helium on the planet.
It's proposed that the origins of this helium gas is the same for the helium that's present here on Earth - that it comes from the alpha decay of Uranium. As you might be aware, Uranium is one of those "radioactive" substances, which essentially means that the nuclei decay into other smaller nuclei, and the release of radiation in the process can be harmful when exposed to. In the case of 99% of the helium on Earth, the Uranium nuclei found naturally in soil, decay into Thorium, and Helium. A similar situation can be said for Mercury, although the Uranium makes up a portion of its rocky structure as opposed to any kind of soil.
Referring back to a point I made at the vey beginning of this post, Mercury's days are longer than its years, due to its awfully slow rotation about its axis.
This can be explained by the extreme tidal forces that can be experienced when at such close proximity to the Sun (about 0.3 AU, meaning 0.3 the distance from the Sun to the Earth). I have explained what tidal forces are in a different post, and, having already digressed with black holes, I feel it would probably be too much to do so again, but you can read more about them here.
These tidal forces essentially tug at the planet, resisting its rotational motion. Over time, this has resulted in Mercury having a very slow rotational velocity.
Magnetism
Interestingly, however, it has managed to retain an albeit weak magnetosphere. The adequate motion of liquid Iron at the core induces a magnetic field, which cannot be said for Venus or Mars.
The magnetic field strength of Mercury is relatively weak however, and its proximity to the Sun results in it being subject to extreme solar winds (which comprise of energetic charged particles, the same particles responsible for the Northern/Southern lights here on Earth.)
Unfortunately for Mercury, it's lack of a strong magnetic field strength coupled with the intensity of the solar winds at that short distance from the Sun, means that the energetic charged particles are not forced toward the poles via interactions with the magnetosphere, as they are with the Earth, and instead, collide with the surface of the planet. This interaction results in a perplexing dynamic of charged ions and electrons that can be visualised as a glow that trails behind Mercury, as depicted in this image by NASA's MESSENGER , the space probe that orbits Mercury.
Illustration of Mercury's magnetosphere and its interaction with solar wind.... Image Credit: NASA

It's currently not completely known why Mercury has such a weak magnetic field, and the existence of such is quite puzzling since the planet contains almost twice as much Iron as the Earth, which is, in its molten state, responsible for the induction of a magnetic field.
However, it's theorised that the abnormal exposure to harsh solar winds results in an unusual interaction between the dynamo of the planet's magnetosphere.
Again, it's not known exactly what this interaction is, but suffice to say that, at this present moment, the theory goes that the exposure to harsh solar winds is what drives a mechanism by which the magnetic field strength is reduced significantly. The Dynamo effect is a theory advanced by Walter M. Elsasser, which, to summarise, proposes that a magnetic field can be induced by:
An electrically conductive fluid medium
Kinetic energy provided by planetary rotation
An internal energy source to drive convective motions within the fluid
Excluding Venus and Mars, this is achieved through the convection of liquid iron at the core of the planets.
I don't think there's a whole lot more to say about Mercury that's of enough substance for this article... with no moons, there's not much fun around tidal forces besides that of the Sun's.
I genuinely hope that you could learn something from this. Take it all away with you - tell your children (or maybe visit my child-specific categories here before attempting to explain Newton's Law of Gravitation to them....), tell your neighbours in fact!
Or just keep it to yourself I suppose...
Thanks for reading!