In his sermon Great Guilt no Obstacle to the Pardon of the Returning Sinner, based on Psalm 25:11, Jonathan Edwards offers three excellent points that serve as reminders on how we must come to God for mercy. His first point is that we see our misery and need for mercy. His second point is that we should be sensible that we aren’t worthy of God’s mercy. His final point is that you can only receive mercy through Jesus Christ. Emphasis below is mine.
They must come to God for mercy in and through Jesus Christ alone. All their hope of mercy must be from the consideration of what he is, what he hath done, and what he hath suffered; and that there is no other name given under heaven, among men, whereby we can be saved, but that of Christ; that he is the Son of God, and the Saviour of the world; that his blood cleanses from all sin, and that he is so worthy, that all sinners who are in him may well be pardoned and accepted.—It is impossible that any should come to God for mercy, and at the same time have no hope of mercy. Their coming to God for it, implies that they have some hope of obtaining, otherwise they would not think it worth the while to come. But they that come in a right manner have all their hope through Christ, or from the consideration of his redemption, and the sufficiency of it.—If persons thus come to God for mercy, the greatness of their sins will be no impediment to pardon. Let their sins be ever so many, and great, and aggravated, it will not make God in the least degree more backward to pardon them.“
Hallelujah! What a savior.