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[Lord Jesus Christ] confession of the Logos as secondary to the Father, automatically Trinitarian, and acknowledging one Lord and one God. Personally directing prayer to the sole Savior and none other, intimately calling to Him.
[Son of the living God/Son of God] Confession again of the relationship of the Father and the Logos, inherently Trinitarian and confessional. Acknowledges one true living God, the Father.
[have mercy on me] acknowledges sole ability of the Son to have mercy and to save, recognizes self as created being that requires mercy for redemption, and failings for mercy to be had. Also acknowledges mercy to be had post-resurrection. Not to mention acknowledging mercy as the only thing you need above all others, and your strength is in the mercy had by the Lord.
[a sinner] acknowledges state, inherently confesses entire Gospel message in one statement of condition and action, and really your whole being. You exist so you sin. You are defined as a sinner. But welcomes mercy to be had as the Lord is a compassionate one, and compassion and mercy will be had.
[amen.] It will be.
Definitely the best prayer.