Mercury was the Roman messenger god. Mercury is the Roman equivalent of the Greek god Hermes, and was not a signficant part of the Roman religion it was reconciled with the Greek myths.
As the Romans expanded their territory, they began to interperet the mythology of other religions as being identical to their own. The popular gods Lugus, among the Celtic tribes, and Odin (or Wotan) among the Germanic peoples, were both identified as Mercury. Julius Caesar wrote that the German peoples, as well as the Celts of Britain and Gaul, most worship Mercury.
The planet Mercury and the element mercury (Hg) are both named after the Roman god.