Mercerism is probably the most bizarre aspect of that book, and fascinating in that way only PKD can manage.
In Do Androids Dream, PKD seems to have picked up Mercerism as a way to emphasize humankind's capacity for empathy, which androids (replicants) lack. Though the androids claim it's a made up religion if I remember correctly -- but of course they would say that, since they lack empathy and cannot be trusted.
Note the characterization of androids in the novel and of replicants in the movie differs in a fundamental issue: androids are cruel and truly incapable of empathy (it's mentioned that an android doesn't even care about their fellow androids) but replicants in the movie are shown being fully capable of empathy: they love and defend each other. Mercerism is no longer a difference between humans and artificial beings, and maybe that's why it was left out of the movie?
Assuming the empathy box is merely an extension of ones self and using it requires obeying a relatively strict process (taking part in Mercer's "martyr walk"), what's left of you as a human being outside of it, is a biomechanical shell not much more capable or understanding of empathy than any android.
Like a lot of PKD concepts, it defies a simple explanation (by design). It hits on many of his common themes: consciousness, what it means to be human, the shifting and blurry nature of reality, the merging and melding of different minds, etc.
On its surface, it's a religion based on the Messianic "Wilbur Mercer" character, and the shared vision of him that people can enter through the Empathy Box. But then the book explores whether Mercer, and that shared vision in the Empathy Box, is actually "real" or "fake", in a way that closely mirrors the exploration of androids vs humans.
The Mercer box was something people could use to plug in and feel something, sort of like a Mega Church, rock concert, etc. that moves you; something positive in an otherwise negative place. But it's a programmed feeling, it's not real.
It contrasts with the hunting-and-retiring-androids thing, in that real people can't feel things unless they plug into a program, and are feeling something wholly artificial -- so how is that really any different from the 'droids?
Too real :p
How did he predict my addiction to World of Warcraft in 1968?