If you wanted to build a habitation on Mercury, you'd either build a mobile one that stays on the dark side of the planet, or you'd stay in always-shaded areas at the walls of craters. So you're shaded from the solar wind by rock.
The atmosphere and gravity situation on the other hand are about the same as Mars.
Ref: http://www.space.com/27450-messenger-mercury-water-ice-photo...