Mercury is the closest (0.39 AU) planet to the Sun. It is one of the terrestrial planets, but differs somewhat from the others. It has, e.g., an exceptionally high density, a magnetosphere with unknown origin, and no permanent atmosphere or ionosphere. An interesting point in Mercury is that since the ions from the surface (Na and K) found in the magnetosphere are so different from the solar wind ions, it will be possible to study the penetration of solar wind into a terrestrial type magnetosphere!
The magnetosphere - solar wind interaction must lead to the development of a magnetospheric current system, and magnetospheric substorms take place. Most features of substorms observed in Earth are also seen in Mercury: magnetic field dipolarization, particle injections, FACs, plasma sheet heating, and IMF Bz correlation. The substorms are very short-lived, only couple of minutes. Because of the absense of the Hermean ionosphere, comparison of substorms on Earth and Mercury would be useful: for example, the substorm current wedge (SCW, an important part of substorms in Earth) requires a tight coupling between the magnetospheric and ionospheric plasmas. Now, because of the missing ionosphere, the SCW is difficult to set up in Mercury, since there is no obvious place to close the current. Possibilities are to close it via
Note that some of the current substorm models invoke the ionosphere-magnetosphere coupling as a key element in the substorm development.
Mariner 10 made three flybys of Mercury in the 70s. For references, see e.g. Luhmann et al. (1998). Now ESA plans a new mission to the planet, called the Mercury Orbiter.
See also Wikipedia on Mercury.