Mercy is one of the virtues, my character is an Innocent which is one of the three Mercy creeds. If you had an Avenger your virtue would be Zeal instead. Every charcter starts with three virtue based on their creed. If you want more info on the Creeds and Virtues White Wolf has a decent wiki here http://whitewolf.wikia.com/wiki/Hunter:_The_Reckoning
Conviction and willpower are a little more complex but in a nutshell it's how you use your abilities and "level up". If you can gain 10 conviction you can cash them in and get another virtue point which can then be spent on more "edges" (which are your cool powers.) Edges come in level, 1, 2, 3, 4, 5 and you can't buy a higher level edge until you have the preceding level. In other words you have to buy 1 before you buy 2 and so on regardless of how much virtue you have. I'll give you more detail later when I get home and get to my books.